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Customer LoginsIBOR Reform: Interbank Offered Rate benchmark reform
Overview
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.
S&P Global is helping to lead the conversation in order to help our clients better navigate the transition.
Downloads
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Contract Remediation
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.
Trade Processing
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.
Loans Calculator
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.
Portfolio Valuations
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 S&P Global Portfolio Valuations’ robust OTC derivatives pricing service that has coverage across classes and can perform valuations on IBOR portfolios.
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.
USD Credit Inclusive Term Rate (CRITR) & Spread (CRITS)
As a leading index provider with a strong credit franchise, S&P Global 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.
Thought Leadership
Speak to one of our experts about the IBOR reform today
Experts
Julien Rey
Julien leads Cross Functional Strategy and Partnerships for the Data, Valuations & Analytics Group and is Head of the LIBOR Transition Program globally.He is based in our London office. He joined S&P Global (now part of S&P Global) in 2016. With 15 years of international experience (Paris, London, New York) in the risk and valuations space, he partners with industry participants in financial markets to develop innovative solutions for the industry. He frequently speaks at industry conferences, to financial media and with industry participants in the OTC derivative markets. He focuses on interest rate derivatives valuations, XVA, funding considerations and the LIBOR transition.Prior to joining S&P Global, Julien was Head of the EMEA Rates Valuations team at Nomura in London. He began his career at HSBC in Paris where he held various roles in SSA Origination, Market Risk and Valuations.Julien holds a Master of Science with a dual degree in Econometrics and Quantitative Finance from the Université Paris-Dauphine, France.
Darren Thomas
Darren leads the S&P Global Market Intelligence platform business, which includes Counterparty Manager, KYC, Tax Solutions, and Know Your Third Party (KY3P). In keeping with our vision of driving efficient solutions and services for customer regulatory compliance, he leads our journey towards a next generation platform. Darren has launched several new products and innovations over the past few years, including Outreach360 for client and regulatory outreach, Tax form validation utility, KYC services, Onboarding Accelerator, and Legal document digitization and automation. He has over 20 years of experience in driving technology change and helping firms efficiently adapt to global regulations. Prior to joing the company, Darren worked at both Barclays and UBS where he ran Futures, OTC clearing, led regulatory change programs, and ran business functions across Operations and Technology. He began his career as a management consultant at PwC focusing on Manufacturing & Pharmaceuticals. He has been active in industry organizations and previously co-headed the ISDA Credit Derivatives Implementation Working Group during the financial crisis.Darren holds a bachelor's degree in Mechanical and Aeronautical Engineering from Cornell University and received his MBA from the University of Georgia, both United States.
Robert Moeller
Robert is responsible for setting the go-to-market strategy for our liquid credit software solutions in North America, working closely with our product, sales and alliances teams. Robert also leads the integration and development efforts around LIBOR cessation.Prior to his current role, Robert led integration and reporting product strategy for WSO, as well as being head of WSO Professional Services, overseeing implementation, consulting, compliance, and upgrades.Before joining S&P Global, Robert was a loan analyst at J.P. Morgan FCS Corp (now part of S&P Global), and also held roles as an equity trader with Zone Trading Partners and as a financial analyst with XTO Energy.Robert received his Bachelor of Business Administration in Finance from Texas A&M University, College Station, TX. He has held the Financial Risk Manager (FRM) designation since 2010.
Allan Cowan, Ph.D.
As global head of Financial Engineering, Dr. Cowan is responsible for the R&D initiatives for the Financial Risk Analytics team. He oversees the research and development of the quantitative libraries and methodology used in the groups counterparty credit risk and xVA solutions. With over 13 years of experience, he is an expert in the field of derivatives valuations, regulatory risk and xVA management. Dr. Cowan joined Markit, now S&P Global, through the 2011 acquisition of QuIC Financial Technology, where he held the role of senior financial engineer. He took on responsibility for the Financial Engineering team in October 2016. He attained a Ph.D. in physics from the University of British Columbia, Canada.
Events
ISDA Amend IBOR Webcast Demo Series
August 25 - February 03 2021 Each week, our team will walk asset managers through the process of applying their adherence to their underlying funds.S&P Global IBOR Webinar Series
January 13 - February 24 2021 | Global S&P Global is bringing together some of the leading industry experts and key market players for a three-part series of webinars to discuss the...{"slidesToScroll": 1,"dots": true,"arrows": true,"autoplay":false}
IBOR Insights Newsletter
Receive monthly news and insights on the IBOR Transition
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