Serving the Quantitative Finance Community

 
User avatar
platinum
Topic Author
Posts: 174
Joined: May 6th, 2009, 11:08 am

LIBOR transition

October 25th, 2020, 11:55 pm

Some of you probably know, the FSB has recently issued a road map for LIBOR transition (October 16):

https://www.fsb.org/wp-content/uploads/P161020-1.pdf

Obviously this is after many months if not a few years of consultations. But is the industry really ready for it?

Doing research now on existing solutions and possible new products to help handle the near-term issues.
 
User avatar
RiskUser
Posts: 304
Joined: July 19th, 2006, 4:30 pm

Re: LIBOR transition

December 27th, 2020, 11:09 am

Some of you probably know, the FSB has recently issued a road map for LIBOR transition (October 16):

https://www.fsb.org/wp-content/uploads/P161020-1.pdf

Obviously this is after many months if not a few years of consultations. But is the industry really ready for it?

Doing research now on existing solutions and possible new products to help handle the near-term issues.

I don't believe so. The ISDA fallback methodology is exceptionally complex to implement e.g. use of the most recent fixing, the impact of the discontinued rates maturity provision on tenor by tenor cessation and not to mention the combination of these two issues on stub periods. This all then gets bundled into SGD SOR and THB THBFIX as they are a function of USD LIBOR.....I very much doubt that third party software has been fully developed / tested to capture all the edge cases.

One thing we know for certain is that CAD CDOR 6M and 12M trades will fall back in May 2021 so people had better get their skates on and either implement the fallback methodology or trade out in favor for CAD CORRA or CAD CDOR 3M.
 
User avatar
ikicker
Posts: 21
Joined: June 8th, 2011, 12:19 am

Re: LIBOR transition

January 25th, 2021, 5:07 pm

Some of you probably know, the FSB has recently issued a road map for LIBOR transition (October 16):

https://www.fsb.org/wp-content/uploads/P161020-1.pdf

Obviously this is after many months if not a few years of consultations. But is the industry really ready for it?

Doing research now on existing solutions and possible new products to help handle the near-term issues.
I know that here in the US they are switching to SOFR... That transition has been a long time coming with a lot of steps taken to advance it. They don’t line up perfectly but similar numbers for an index.
----
Undergraduate: accounting, finance, information systems; Graduate: MBA/finance; Graduate certificates: data science, applied statistics, advanced valuation; PhD candidate - data science

Blog: Www.ThinkerTinkerSolutions.com
 
User avatar
bearish
Posts: 6453
Joined: February 3rd, 2011, 2:19 pm

Re: LIBOR transition

January 26th, 2021, 12:16 am

I think it might get messy. The optimists say it’s another Y2K, the pessimists liken it to Brexit. The problem with the crystal clear solutions in some parts of the market (like CME and LCH cleared vanilla swaps) is that these positions are sometimes hedges for trades that, if resolved at all, may well be resolved in a very different way. So, probably not a bad field for contract lawyers for the next decade or two.