Press Release | 12/10/2020

Upcoming webinar: The LIBOR Transition - Part 2 - A Deep-Dive Series

Complimentary Webinar: Part 2 – Pricing after LIBOR

Valuation of floating rate instruments after the point that LIBOR is declared unusable, or ceases in 2022, involves both supporting legacy products and issuing new ones.   This webinar emphasizes the quantitative and economic considerations of both challenges, including fallbacks, construction of RFR curves, and the selection of one (or several) RFRs tailored to a business’s size and needs.  The main focus is USD LIBOR, though many lessons can be carried over to other LIBOR currencies, Euribor, and other non-LIBOR IBORs.   The discussion is targeted to advanced users of LIBOR, and relies on our past deep dive into the RFR discounting transition.

About this webinar

With the upcoming end of LIBOR, practitioners are making “should I stay or should I go” decisions on their holdings on a daily basis:  Should a LIBOR instrument be held and its fallback triggered, or should it be renegotiated in a “risk free rate” (RFR) framework?  New issuance has questions also.  For loans, which of the two RFR compounding methods is optimal?  For traded instruments, compound in arrears, compound in advance, or use term rates?

The US has particular issues:  If SOFR is used, how is the credit sensitivity accounted for?  Or, if an ABC (alternatives to SOFR: Ameribor, Bank Yield Index, or Constant Maturity Treasury) is chosen, how can they be sold to servicers and agencies?  Are fallbacks for ABCs even possible, or would an ABC-issuing bank have to have a separate SOFR infrastructure to price legacy deals?

This webinar covers the complete repricing of floating-rate positions after LIBOR ceases.  It then takes a thorough trip through RFRs, including methods to compute tenors, and the construction of spot curves follows.  RFR curves are sufficient to price vanilla swaps analogous to current fixed/float LIBOR deals, though most RFR swaps currently use money market conventions.  Optionality is the final piece in the talk.  RFRs afford unique challenges due to their raw overnight nature.  

 If you are interest in attending this webinar, please register here.