Non-Libor Discounting of Derivatives Survey

Background, Objectives and the Approach

In the aftermath of the financial crisis financial institutions were forced to revisit their pricing and business models for derivatives transactions. Institutions world-wide are in the process of transitioning from a universal approach of discounting derivatives transactions using the London interbank offer rates (Libor) before the crisis to discounting based on the overnight rates paid on currency collaterals of the Credit Support Annex (CSA) of ISDA agreements and cost of funding rates. This transition has proven to be fraught with methodological, technological, and operational challenges. Moreover, the pace of the transition is vastly different from geography to geography and between institutions at different tiers of market participation.

The 2012–13 Council on Market Risk of The Risk Management Association (RMA) put forward the initiative to determine the state of the transition to non-Libor discounting and the range of practices and standards utilized.

RMA and PwC developed and carried out a survey of financial services institutions on the status of their transition to the non-Libor discounting. The results of the survey provide valuable insight into and benchmarking data regarding common industry practices and the degree to which techniques have achieved general acceptance and consistency.

The survey also included sections for comments to describe what, if any, impact the recent credit crisis, market disruptions and Libor-related issues have had on the respondents' approach to valuing derivatives.

The survey consisted of the following sections:

  • Overall Approach to the Transition and Current Status
  • Collateralization and Derivatives Pricing and Valuation
  • Non-Collateralized Derivatives Transactions Pricing and Valuation
  • Impact of the New Pricing and Valuation on Risk Management
  • Addendum on Related Topics

A total of 43 financial institutions based in the North America, United Kingdom, Europe, Asia and Australia completed the Web-based survey. The survey process took place in the winter/spring of 2013. The survey contained over 100 questions, split between multiple choice and written text responses.

A final report was written by PwC and RMA. Prior to the final release, preliminary results were discussed at RMA Market Risk Round Tables in both London and New York. Additionally, RMA's Market Risk Council members reviewed a draft to ensure that the report was responsive to their needs and met their expectations.


The final report was issued in June 2013, to survey participants only. This comprehensive report contains detailed findings in its 190+ pages. It clearly describes the most prevalent methods, tools, and decision processes used to determine leading practices. You may view a synopsis of the Non-Libor Discounting of Derivatives Executive Summary (PDF) by clicking on the aforementioned link. To purchase the complete survey, please contact Rosemarie Casler, 215-446-4081 or The cost of the report is $4,950 for an RMA member, $5,950 for professional members, and $6,500 for a nonmembers.

Institutions interested in participating in future market risk studies should contact Fran Garritt, Director, Market Risk and Securities Lending, 215-446-4122 or at

List of Participating Institutions

Allied Irish Bank
Bank of America Merrill Lynch
Bank Of Ireland
Bank of Montreal
Bank of New York Mellon
Bank of the West
Capital One
Commonwealth Bank
CPP Investment Board
Credit Agricole CIB
Credit Suisse
Fifth Third Bank
Goldman Sachs
Macquarie Bank Ltd
National Australia Bank
National Bank Financial
Northern Trust
Rabobank International
Royal Bank of Canada (UK)
Societe Generale CIB
Suncorp Bank
SunTrust Bank Inc.
Susquehanna Bancshares
TD Bank Financial Group
U.S. Bank
Union Bank
Westpac Institutional Bank