The transition to risk free rates (RFR) is accelerating, with derivatives leading the cash markets. Please join Bloomberg and Oliver Wyman for an informative webinar as they present the results of a joint study on the financial impacts of LIBOR Transition in the derivatives markets given these two recent significant market events:
- The launch of ISDAFALLBACK protocol documentation for anticipated LIBOR cessation.
- The CCP's PAI discount rate changes and anticipated similar changes for Bi-lateral CSAs.
Our experts will discuss the practical implications of valuation impact necessary to form the basis for sound decision making and risk management.
- ISDA Fallback protocol adoption (discussion comparing the new ISDA fallback adoption and protocol to existing ISDA master fallbacks, coverage from list of escrow list as available)
- Projected ISDA fallback median values and valuation/hedge sensitivity impact given market and LIBOR cessation date scenario analysis
- Implications for non-adhering counterparties (likely valuation outcomes, illustration of valuation impact examples)
- In follow-up to the recent CCP discount rate changes, impact of SOFR discounting on bi-lateral CSA valuation.
- Valuation and hedging impact for non-collateralized portfolios (using "XVA" methodology).
- Impact on Initial Margins for both CCP cleared swaps and for Uncleared swaps (via SIMM)