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
Options
Regulatory guidance/requirements growing for new risk to reference RFR
- Libor discontinuation officially announced by the UK’s Financial Conduct Authority (FCA) on
- 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
- Clearing Houses have laid out timelines and fees for conversion of LIBOR referencing trades to
- 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
