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ICICI Bank executes SOFR-linked term loan and cross currency swap derivative transactions

In January 2021, the Bank had executed its first interbank money market transaction linked to SOFR, which has been identified as the replacement for USD LIBOR.

October 07, 2021 / 02:13 PM IST

ICICI Bank, on October 7, said it had executed its first term loan and cross currency swap derivative transactions linked to Secured Overnight Financing Rate (SOFR).

The transactions were carried out with a corporate client through the Bank’s International offices, the bank said in a release.

These transactions indicate the bank’s preparedness towards smooth transition from USD LIBOR (London Interbank Offered Rate) to transactions linked to Alternative Reference Rates (ARR), the bank said.

In January, the Bank executed its first interbank money market transaction linked to SOFR, which was identified as the replacement for USD LIBOR.

“The Bank has been actively working with its clients for seamless transition from LIBOR to ARRs. These transactions are just the start of the move towards the ARRs and we are confident that increasingly Indian corporates will move towards ARR based transactions,” said Anuj Bhargava, Head - Global Clients Group, ICICI Bank.


LIBOR, or London Interbank Offered Rate, is finally bidding farewell from global markets as the global banks are preparing for a transition to a new alternative reference rate (ARR) such as the secured overnight financing rate (SOFR). The transition is already happening to the new benchmark.

LIBOR and SOFR are benchmarks against which global banks mark their transactions. SOFR is linked to US treasury market transactions. LIBOR is the interest rate average submitted by leading UK banks. The transition from LIBOR is confirmed with, on March 5, the UK Financial Conduct Authority (FCA) issuing a statement announcing the cessation dates for all LIBOR settings.

SOFR is an identified replacement for USD LIBOR which is expected to be phased out at the end of 2021. The sunset for the LIBOR has been triggered by the decision of the Financial Conduct Authority (FCA) in the UK not to compel contributing banks for LIBOR calculation after December 2021.

“With the slew of measures announced by regulators globally, there is an increased shift towards ARR linked products in markets. As the cessation deadline approaches, the liquidity in ARR linked products will increase and ICICI Bank is ready to widen its product suite to meet the customer requirements,” B. Prasanna, Group Head - Global Markets, Sales, Trading and Research at ICICI Bank said.
Moneycontrol News
first published: Oct 7, 2021 01:14 pm

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