LIBOR Transition Series: Valuation Impact and Practical Considerations
- 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
Discussion topics
- 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)
- Q&A
Speakers
Harry Lipman
Global Derivatives Product Manager
Bloomberg L.P.
Harry Lipman is leading LIBOR transition strategy and related product development at Bloomberg and focuses on various other regulatory agenda impacting derivatives valuation, including counterparty risk XVA and Margins products. At Bloomberg LP since 2000, he has held various product management positions in the fixed income derivatives group and played an influential role in the creation of Bloomberg's swap analytics functions for credit default swaps [CDSW] and interest rate derivatives pricing [SWPM], now seen as industry standards. Mr. Lipman started his financial career as a fixed income proprietary trader at Goldman Sachs in 1986, and subsequently managed money in his own commodity trading advisory firm. He later joined National Bank of Canada and NatWest Global Fund Management as a proprietary trader. Before moving to Wall Street, he worked at AT&T Bell Laboratories on classified research in signal processing for anti-submarine warfare for the US Navy. He holds a Bachelor's and Master's degrees in Nuclear Engineering from the Massachusetts Institute of Technology.
Esther Bruegger
Principal, Finance & Risk
Oliver Wyman
Esther is a Principal in the Finance and Risk practice in Oliver Wyman’s New York Office. Esther leads engagements to build or enhance clients’ analytical capabilities across a range of applications. Her expertise includes financial modeling and data analysis, both for economic optimization problems as well as regulatory compliance. Prior to Oliver Wyman, Esther worked in the Securities and Finance Practice at NERA Economic Consulting where she specialized in fixed income and derivatives. Esther is leading the development LIBORITHMICS™, a set of transition analytics tools to support financial institutions through the LIBOR transition.
Umit Kaya
Partner, Financial Services
Oliver Wyman
Risk management, finance, and treasury expertise, working for all types of financial institutions. Umit co-leads LIBOR transition analytics platform at OW, focusing on helping clients efficiently and effectively manage the transition through developing the right analytics. He is the co-author of the recent Oliver Wyman paper “DON’T FLY BLIND IN THE IBOR TRANSITION STORM”.
MARC KONIGSBERG
Workflow Specialist
BLOOMBERG/ 731 LEX
Marc Konigsberg is a workflow specialist dedicated to global rate markets. He serves as a resource for clients, subject matter expert and liaison between product and sales teams across Bloomberg terminal and enterprise solutions. Prior to joining Bloomberg, Marc spent 26 years focused on fixed income cash and derivative markets at Credit Agricole and JPMorgan.