HKMA Invites Tenders to Implement LIBOR Transition for Exchange Fund

Interested parties should arrange project staff members who are familiar with or experienced in the Calypso system and LIBOR transition.

The HKMA (Hong Kong Monetary Authority) is inviting tenderers to assist in implementing the transition from LIBOR to RFRs (risk free rates) in the Calypso system.

Developed by Calypso Technology, the Calypso system is a front-to-back platform for investment and related risk management, which the HKMA uses to run the Exchange Fund.

Currently, the system is not able to handle RFR processing; however, Calypso Technology is in the process of developing a LIBOR module for RFR processing which can be deployed to the HKMA’s Reserves Investment System (RIS) in the form of a new ‘LIBOR Reform Build’.

The HKMA is seeking specialist expertise to advise on the impact of the LIBOR transition on the current RIS in terms of Calypso’s functional readiness, as well as gaps and limitations to RFR processing.

Interested firms should also be able to deploy the LIBOR Reform Build to the RIS, configure Calypso related functions, and setup related market data to support RFR processing.

Successful tenderers will also be required to train and assist users in migrating legacy LIBOR/IBOR positions to RFRs or other fallback rates, and to configure the RIS to support products referencing LIBORs, other IBORs and RFRs in all applicable markets.

Interested parties should arrange project staff members who are familiar with or experienced in the Calypso system and LIBOR transition.

The tender documents can be requested from [email protected]. The deadline for responding to the tender is 12.00 noon on 16 December 2020.

The services are expected to commence in June 2021.

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