Revisit The 4th Interest Rate Reform (Ibor Transition) Conference, originally presented 19th - 21st October 2021

WBS: The 4th Interest Rate Reform (Ibor Transition) Conference, 19th - 21st October 2021

Revisit The 4th Interest Rate Reform (Ibor Transition) Conference, originally presented 19th - 21st October 2021

The 4th Interest Rate Reform (Ibor Transition) Conference is 3-day event focusing on the latest developments, challenges and opportunities that lie ahead within quant finance.

The current global reform of interest rate benchmarks is radically changing the scenario, adding more and more interest rates, with important consequences for pricing and risk management of financial instruments.

With the increased expectation of some IBORs discontinuation and the increasing regulatory requirements related to benchmarks, a more robust fallback provision and a clear transition plan for benchmark-linked derivatives is becoming paramount for the interest rate market.

Workshop Day: LIBOR Transition: Almost there and so much to do for quants

by Marc Henrard: Managing Partner muRisQ Advisory and Visiting Professor, University College London

LIBOR will cease in a couple of months. The cessation is the end of a long journey and the start of many others. The quantitative finance impacts of the transitions will stay with us for many years. The new financial instruments resulting from the fallback may look familiar but they all have their idiosyncrasies that make them special. Moreover the rules are different for different instruments; back-to-back portfolios before the fallback may not be back-to-back after.

The workshop will go through some of those issues and describe some of the quant’s developments that will still be required after the cessation.


Liquidity in ESTR, SONIA and SOFR

ISDA fallback spreads v recent LIBOR/SOFR data

Multiple fallbacks; one spread to rule them all!

  •   T-2 shifts impacts
  •   CCP v Bilateral
  •   ICE Swap Rate v LIBOR
  •   Cash/bond v derivatives


Hidden issues

  •   Vanilla swaptions and CMS becoming exotic
  •   Convexity in OIS
  •   Multiple discounting in swaptions
  •   SOFR Term rate hedging


Conference Day One



by Navin Rauniar: Advisory Partner focusing on LIBOR, ESG, Climate Risk & TCFD, HSBC

  • LIBOR – it is not just the G7 currencies!
  • Global Market Update
  • LIBOR post end 2021
  • LIBOR post end 2023


ICE Swap Rate: fallback, approximation, exotic and convexity

by Marc Henrard: Managing Partner muRisQ Advisory and Visiting Professor, University College London

  • Fallback proposal by working groups
  • How good/bad is the implicit approximation?
  • Non-linear transformation of payoffs and new strikes
  • Implicit convexity adjustment embedded in proposals

Model Risk and Ibor Transition

by Maurizio Garro: Senior Lead – IBOR Transition programme, Lloyds Banking Group


LIBOR Transition: Alternative Interest Rate Benchmarks

by Andrea Macrina: Reader in Mathematics, University College London (UCL)


The Curious Case of Backward Short Rates

by Andrei Lyashenko: Head of Market Risk and Pricing Models, Quantitative Risk Management (QRM), Inc.


Panel: Interest Rate Reform


Conference Day Two


SABR Smiles for RFR Caplets

by Sander Willems: SRT Quants, RBC Capital Markets

  • Pricing of caplets on compounded overnight rates
  • Natural extension of the market standard SABR model to account for the volatility decay in the accrual period
  • Allows to look at backward and forward-looking smiles in normalized units


LIBOR Reform and the ICE LIBOR Swap Rate Fixing

by Oscar Arias: Head of Structured Rates Quantitative Analytics, NatWest Markets


Industry Progress and Operational Readiness Towards the Transition

by Erik Vynckier: Interim Chief Executive, Foresters Friendly Society


Calibrating the SOFR Term Structure and Other Modelling Challenges

by Dmitry Pugachevsky: Director, Research, Quantifi

  • Daily compounding and payment in arrears
  • SOFR futures
  • Calibrating SOFR curves
  • SOFR rates for FRN’s and loans
  • Lookbacks and lockouts
  • Challenges for XVA simulations


Modelling and Calibrating Volatility Decay Factors

by Fabio Mercurio: Global Head of Quant Analytics, Bloomberg L.P.


SOFR/LIBOR Transition Impact on Markets Fallbacks

by Jonathan Rosen: Product Manager, Quantitative Analytics, Fincad



Please note some presenter slides and video lecture recordings may be restricted due to company compliance.

Published date

Monday, 25 October, 2021