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