Portfolio Risk Management — May 1, 2020

Preparing for the LIBOR Transition

LIBOR is going. The FCA will no longer have, and is not seeking, commitment from the banks on the LIBOR panels to make submissions past the end of 2021. While it is conceivable that banks will continue to make submissions on a voluntary basis, global regulators have said not to rely on this. This whitepaper describes, for each of the five currencies for which we have LIBOR quotes (CHF, EUR, GBP, JPY and USD), the alternatives that will be implemented to address every use case within Qontigo to ensure we continue to provide meaningful risk analytics. The background behind these choices, as well as specific issues to each currency, such as proxy histories, are also addressed.

Authors

Alan Langworthy

Executive Director, Multi-Asset Research