LIBOR discontinuation continues to be top of mind with deadlines and changes looming on the road to reform.

Coremont’s latest whitepaper sets out the latest LIBOR landscape, including key regulatory and market developments and how fall back 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

Clarion provides portfolio management technology, data and managed services across all investment management functions, with the capacity to support institutionally high trading volumes.

At the hub of Coremont’s offering is Clarion, the cloud-based portfolio management technology providing live risk, P&L and rich analytical tools to investment managers across all asset classes, including rates, fixed income, credit, fx, equities and cryptocurrencies.