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HOW PREPARED IS YOUR FIRM FOR LIBOR TRANSITION?
Key dates, the true impact on systems and how Calypso is helping clients
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LIBOR TRANSITION TIMELINE
Is your firm on track?

  1. LIBOR
    Review

    2015

    • Bank of England (BOE) Working Group on GBP RFR set up
  2. FCA
    Announcement

    2017

    • FCA will no longer compel banks to submit LIBOR inputs after 2021
  3. New RFRs
    Published

    2018

    • SOFR data published by FED
    • BOE publishes reformed SONIA
    • First SONIA-linked bond issue
  4. Regulatory
    Announcements
      New Products

    2019

    • ECB announces ESTER as the replacement for EONIA
    • Financial institutions issue SOFR-linked bonds and trade swaps
    • CME creates listed SOFR futures including average and compounding 1M and 3M contracts
    • SOFR swaps to be cleared on the CME and LCH
  5. End of Transition
    Period   Drive to
    Future State

    2020

    • Development of new term RFRs
    • Increasing liquidity of swaps market
    • First SONIA Swaption and XCCY swap traded (SONIA vs SOFR)
    • EU Benchmark Regulation -Transition period ends December 2021
  6. 2022

LIBOR TRANSITION UPCOMING CHALLENGES
Five key questions

Did you know that…

CCPs will change their discounting index from OIS to
RFR on Oct 17, 2020
In the transition period. you will need to manage a
mixed portfolio of LIBOR and RFR-based products
The discounting change will also impact your risk
structure and hedging strategy
New historical data will be required for market and
counterparty risk
More RFR-based products and term
structures are anticipated

And have you …

Anticipated how to manage the transition ?
Considered how to manage this mix of market data?
Prepared tools to manage the new RFR-based risk metrics ?
Anticipated how traders and risk managers will manage and
monitor impacts
?
Anticipated the next milestones?

THE TRUE IMPACT OF LIBOR TRANSITION ON BANKING
SYSTEMS

Member Photo
  • New products and market conventions to support e.g FRNs and Futures
  • New curve structures
  • Static data input changes
  • Product data model changes e.g. support for in-arrears compounding and rounding methodologies
  • New pricing models
  • FTP processes updated in line with RFR-based
  • Hedge recommendations logic changed in line with RFR-based
  • New behavioural assumptions to simulate RFR-based activity
  • New risk analysis to combine RFR-based and LIBOR based trades
  • Management of post-LIBOR historical data for comprehensive market and counterparty risk management
  • XVA model updates able to calibrate and simulate based on new RFR-based
  • CCP replication for updated margin calculations, VaR and liquidity charges
  • ISDA SIMM updates and UMR changes to be in line with RFR changes
  • Support for discounting P&L exchange when switching from OIS to RFR-based discounting
  • Seamless support for RFR-based products (ETD or OTC) when rolled out by CCPs
  • New intraday settlement process for FCM facing CCP and Clients based on agreement
  • New interest-bearing standard for collateral agreements
  • New securityfFinance cash leg valuation compatible with RFR-based
  • New fee configuration   calculation logics
  • New interest-bearing configuration   calculation logics
  • Update of cost of late settlement configuration
  • Novation process LIBOR to (and other RFRs) and trade audit
  • Calculation logic updates for hedge accounting and hedge effectiveness

LIBOR transition is a cross-functional project with implications for risk, treasury, clearing, margin and collateral management and back office

AREAS OF CONCERN

Highlights of an informal Calypso poll carried out among clients in 2019 to identify areas of particular concern in LIBOR transition.

Download Infographic

CALYPSO IS READY TO HELP CLIENTS WITH TRANSITION AND POST-LIBOR CHALLENGES
CONTACT US NOW TO FIND OUT HOW

Additional Resources

RELATED INFORMATION



Calypso LIBOR transitionClients Webinar Series

Where our clients need to be and how Calypso can help get them there


⇦ Please complete the contact us form to request access to webinar recording



THE END OF LIBOR AND TRANSITION TO THE NEW RFRs

Download our information leaflet to discover how Calypso can help clients manage the transition period and move to the post-LIBOR world

 


THE DEMISE OF LIBOR IT’S HAPPENING - DON’T UNDERESTIMATE THE IMPACT

Download our information leaflet to discover how Calypso can help clients manage the transition period and move to the post-LIBOR world