ISDA announced the following RFRs transition dates:
JPY and CHF RFRs: CHF and JPY need to be transitioned in the model before the end of the year as CHF-LIBOR and JPY-LIBOR are discontinuing. Therefore market participants will transition inputs to SARON (for CHF) and TONA (for JPY) on 20 December 2021. It was noted that this date aligns with the iBoxx transition.
AUD RFR: AUD is the only other currency with significant CDS volumes. BBSW is not discontinuing, however the relevant RFR (AONIA) is currently available in parallel to BBSW in the model. Therefore for consistency, market participants will transition inputs to AONIA (for AUD) on the same date as JPY and CHF (i.e. on 20 December 2021).
GBP-LIBOR, JPY-LIBOR and CHF-LIBOR: The IBOR-based and RFR-based rate curves are already available in parallel in the CDS Standard Model, however GBP-LIBOR, JPY-LIBOR and CHF-LIBOR rate curves will cease to be published after 31st December 2021.
USD and EUR RFRs: ISDA continue to hold working group calls to discuss feedback on the transition dates for USD and EUR.