El cese de IBOR plantea muchos desafíos para las firmas financieras en múltiples clases de activos. Aunque IBOR sustenta muchos productos de renta fija y derivados, la experiencia de cada clase de activo ha sido y seguirá siendo diferente. Por lo tanto, el proceso de modificación de la documentación subyacente para respaldar la transición de IBOR también ha sido diferente.

In addition, from a valuation and risk perspective, the transition away from LIBOR is a very complex undertaking both theoretically and practically. On October 16th, 2020, the change of collateral convention from Fed Funds to SOFR for all cleared derivatives – or USD Price Alignment Interest – is one of the key milestones in the ARRC transition plan from USD LIBOR to SOFR. This switch has many important implications on value transfer, fundamental changes in risk profiles and hedging strategies that every firm involved in derivatives trading should fully understand. We will also touch on some of the considerations around the transition for cash instruments and the potential for a multi curve environment and the emergence of additional basis risks in the financial industry in a port LIBOR world.