Coremont’s latest whitepaper sets out the latest LIBOR landscape, including key regulatory and market developments and how fallback analytics can be accessed via Coremont’s portfolio management technology, Clarion.

Key Updates

  • Markets under regulatory pressure to migrate off LIBOR
    • Libor discontinuation officially announced by the UK’s Financial Conduct Authority (FCA) on
      5th March 2021
    • Final publication dates of:
      31st December 2021 for GBP, EUR, CHF and JPY LIBOR (and 1W and 2M USD)
      30th June 2023 for USD LIBOR
    • Increasing volumes of “Risk Free Rate” (RFR) products: SONIA swaption, SONIA Futures and
      Regulatory guidance/requirements growing for new risk to reference RFR
  • Legacy trade conversion
    • Clearing Houses have laid out timelines and fees for conversion of LIBOR referencing trades to
      RFR equivalents and EONIA trades to €STR
    • ICE will convert open interest in Short Sterling Futures and Options and EuroSwiss Futures to
      RFR equivalents in December
  • Coremont fall back analytics
    • Coremont’s analytics show risk to appropriate curves post discontinuation
    • Curve cliff edge persisting – GBP 6M most prominent
    • USD Libor/SOFR and GBP Libor/SONIA basis not respecting ISDA fallback levels