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Aug 27, 2020
CSA Management: One of the most underrated aspects of the IBOR transition?
The IBOR transition brings many changes to the capital markets sector. One of the critical challenges of transition management is the amendment of collateralization for OTC derivatives. PAI (and implicitly discounting) needs to be adapted for EUR and USD-cash collateral from EONIA and EFFR to the new Risk Free Rates (RFRs) €STR and SOFR. This has to be done by the end of 2021 [1] (EUR) and the end of 2020 [2] (USD), respectively. While the adjustment for cleared derivatives is managed centrally by the CCPs, counterparties of bilaterally collateralized derivative portfolios must amend the collateral agreements by themselves. This requires EONIA or EFFR based legacy CSAs to be negotiated and compensation payments between counterparties to be settled. Complexity is increased further as many market participants still have some non-standardized legacy CSAs with features such as embedded floors or thresholds in place. Strategic options (backloading, counterparty selection, novat
Jul 24, 2019
Seminare der LPA Academy 2019
IBOR Transition
Mar 18, 2019
Seminare der LPA Academy 2019
IBOR-Reform Seminar
Mar 11, 2019
Benchmark reform: the way into a new interest world
Benchmark reform
Mar 6, 2019
Contract and Fallback Management
The IBOR reform and the resulting transformation towards a new system of reference interest rates
Feb 18, 2019
Swiss perspective on IBOR Transition
IBOR Transition
Jan 30, 2019
Postponement of EU BMR December 2019 deadline
LIBOR and EURIBOR - Will recent developments mark the end?