Get ahead of Interbank Offered Rate (IBOR) benchmark reform
The end of 2021 and potential cessation of LIBOR publication is fast approaching. With this, most jurisdictions have taken steps to select and create new benchmarks to transition away from LIBOR.
The markets most affected by the transition away from Interbank Offered Rates (IBORs) are the five currencies of LIBOR (US Dollar, Pound Sterling, Euro, Japanese Yen, Swiss Franc), as well as the Australian, Canadian and Hong Kong Dollar markets.
Across jurisdictions, committees are working on alternative Risk-Free Rates (RFRs) to replace IBORs with the underlying promise of better governance and oversight around major interest rate benchmarks. Regulators and central banks along with industry experts from leading financial institutions are driving these discussions.
IHS Markit is helping to lead the conversation in order to help our clients better navigate the transition.
Counterparty Manager provides clients with the necessary tools via its Outreach360 module to understand their exposure across multiple jurisdictions, currencies, and asset classes by highlighting impacted contracts with their associated fallback and amendment language ahead of the IBOR transition. Products covered by our solution include OTC derivatives, syndicated and bilateral loans, structured products and insurance contracts.
LIBOR Replacement Data for Loans
To help market participants manage the IBOR transition confidently, our dedicated experts are scrubbing credit agreements that exist in our global loans database and identifying the new data fields that will be needed to negotiate the shift away from LIBOR. These fields will be provided as a specific LIBOR Replacement Data for Loans offering.
MarkitSERV is uniquely positioned to aid the markets with the IBOR transition by providing financial infrastructure that will enable processing of derivative trades referencing new benchmarks. We are also developing tools and services for firms to transition existing trades to new indices.
Our WSO business is working with its customers in preparation for IBOR cessation by enhancing existing systems to support compounding in arears interest calculations. A new calculation engine has been developed to feed downstream systems that are not prepared to handle compounding in arrears.
Learn more about WSO Software and access our RFR Calculator which has also been reviewed by the Sterling RFR Working Group here.
Risk Free Rate Hypercube
Risk Free Rate Hypercube provides the industry with an up-to-date view of market implied fallback spreads and RFR product PV’s, enabling users to determine the optimum fallback agreements ahead of the upcoming Libor cessation.
Pricing, Valuations and Reference Data is offering a new PV impact analysis to help clients assess value transfers from migrating off LIBOR portfolios to new benchmarks. Impact Analysis is performed leveraging IHS Markit Portfolio Valuations’ robust OTC derivatives pricing service that has coverage across classes and can perform valuations on IBOR portfolios.
USD Credit Inclusive Term Rate (CRITR) & Spread (CRITS)
As a leading index provider with a strong credit franchise, IHS Markit offers a USD Credit Inclusive Term Spread and Rate which utilize transaction data on commercial paper, certificates of deposit and corporate bonds issued by banking institutions.
Executive Director, Derivatives Data and Valuation Services, Global Lead LIBOR Transition, IHS Markit