Weaning Ourselves Off LIBOR
A webinar with
Monday, April 6, 2020
6:00 PM - 7:30 PM
Registrants will be emailed the webinar link
Webinar attendance is limited to 100
Abstract
The next 18 months are a critical time for transforming trillions of dollars of global financial products, ranging from mortgages to loans to swaps and bonds and more, to “alternative rates” (ARs). In the wake of the Financial Crisis, the legacy London Interbank Offered Rate (LIBOR) is now seen as easy to manipulate, subjective, and (somewhat controversially) not a risk-free rate. This can be viewed at LIBOR’s end for the major currencies: USD, EUR, GBP, CHF, and JPY. It was in some sense on life support already, as Credit Support Agreements during the Crisis switched from using LIBOR discounting instead to less risky overnight-index swap rates, such as USD Federal Funds and the EONIA for EUR. This talk starts with the historical background on LIBOR, which served for many years, and some players are regretfully giving up. The quant framework for the upcoming changes is described, including the development of term ARs, new modifications to discounting (beginning in June), market instruments using the ARs, fallbacks (“fudge factors”) for existing LIBOR products, and open questions. As of today, LIBOR sunsets on 12/31/2021.
Biography
Jonathan (Jon) Schachter is an independent consultant at Natixis North America, part of the French bank conglomerate BPCE, with offices at Rockefeller Center. He has twenty years of Wall Street experience, including positions at Goldman Sachs, Morgan Stanley, State Street, and the financial institution practice of Deloitte and Touche. Since 2010, he has focused on learning the lessons of the Great Recession, working on the Lehman bankruptcy, the London Whale episode at JP Morgan, and the tightening of standards for risk in mathematical models used in finance (e.g., Fed SR 11-7). At Natixis for a year and a half, he is a primary force behind the preparation for the LIBOR to SOFR/ESTR transition at both its New York and Paris (head) offices. Jon has given talks and guest-lectured in the metropolitan area at Columbia, Cornell, and Fordham, and will appear at Stevens Institute of Technology next month. A frequent contributor to LinkedIn on regulatory quant matters, he tweets as @regquant.
About the Series
The IAQF's Thalesians Seminar Series is a joint effort on the part of the IAQF (www.iaqf.org) and the Thalesians (www.thalesians.com). The goal of the series is to provide a forum for the exchange of new ideas and results related to the field of quantitative finance. This goal is accomplished by hosting seminars where leading practitioners and academics present new work, and following the seminars with a reception to facilitate further interaction and discussion.
Complimentary for IAQF members through this site
Complimentary for non-members, registration required
