ibor transition · 2020. 11. 12. · ibor transition 3 questions bloomberg ibor transition 1.4 what...

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IBOR TransitionAnswers to common questions around Bloomberg’s preparations for the shift in risk-free rates (RFRs)

Last updated: 8 October 2020

Contents

01 Section 1: IBOR Transition Planning

05 Section 2: IBOR Transition Solutions for customers

08 Section 3: Transition implementation planning

10 Section 4: Bloomberg Data License & security-level preparations

IBOR TransitionSection 1: IBOR Transition Planning

Questions Bloomberg IBOR Transition

1.0 Are you prepared for the following capabilities (where relevant)? Bloomberg Terminal®

Bloomberg Data License*

i. Capability to calculate new compounding rates (including lookback, lockout, in advance and in arrears)

N/A

ii. Ability to capture transactions using new rates

iii. Ability to source and store new rates and relevant information from up-streams

N/A

iv. Ability to output new rates and relevant information to down-streams

v. Ability to calculate accruals using new compounding in advance rates

N/A

vi. Ability to calculate accruals using new compounding in arrears rates

N/A

vii. Ability to value products using accruals based on new rates or expected changes in rates

N/A

viii. Ability to provide pricing using accruals based on new rates or expected changes in rates

ix. Ability to calculate NAV using accruals based on new rates or expected changes in rates

N/A

x. Ability to capture fallback language (e.g. triggers, rate selection logic, rate, other relevant info)

xi. Ability to change the rate for an existing transaction, deal, or contract

N/A

xii. Ability to recalculate accruals for a product where rate has changed (from LIBOR to new rate)

N/A

xiii. Ability to create updated reporting including new rate/transition-related info

* Bloomberg Data License is the technology that delivers Bloomberg’s data content sets, providing reference, pricing and regulatory data across your enterprise and feeding accounting, portfolio management and compliance systems. Bloomberg Data License does not provide calculation services, but does provide required data inputs for the calculations.

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1.1 What has been Bloomberg’s level of engagement with the ARRC or other industry working groups?

Bloomberg participates in ARRC subgroups, regularly consults regulators globally and was named fallback adjustment vendor by ISDA. Read the full announcement here:

https://www.isda.org/2019/07/31/bloomberg-selected-as-fallback-adjustment-vendor/

Bloomberg Index Services Limited (BISL) began to publish calculations related to IBOR fallback rates on July 21, 2020 . Calculations published by BISL include the adjusted RFR (compounded in arrears), the spread adjustment and the ‘all in’ IBOR fallback rates for the following IBORs across various tenors: the Australian dollar Bank Bill Swap Rate (BBSW), the Canadian Dollar Offered Rate (CDOR), Swiss franc LIBOR, Euribor, Euro LIBOR, sterling LIBOR, HIBOR, Euroyen TIBOR, yen LIBOR, TIBOR and US dollar LIBOR.

Fallback rates are on the Bloomberg Terminal at FBAK <GO>.

Read the full announcement here:

https://www.isda.org/2020/07/21/bloomberg-begins-publishing-calculations-related-to-ibor-fallbacks/

1.2 Has Bloomberg mobilized a program to implement support for Alternative Reference Rates (ARRs)?

Yes. In fact, all applicable features of the Bloomberg Terminal (e.g., fixed income electronic trading features, data and analytics, and order management systems) have alternative risk-free rate deployed solutions, as do our Enterprise Data services (e.g., Bloomberg Data License).

1.3 Does Bloomberg have a timeline for communicating details on anticipated changes, including implementation timelines and testing strategy?

We communicate our planning efforts with updates for subscribers on RFR <GO> on the Bloomberg Terminal (below) and the sales relationship process, and on the web at https://www.bloomberg.com/professional/solution/libor-transition/.

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1.4 What capabilities is Bloomberg adding to product to make it ready in advance of the transition?

Bloomberg supports all new risk-free rate securities, has deployed new risk-free rate curves and a comprehensive set of analytics and indexes based on the IBOR replacements. The security description page (DES <GO>) under “coupon” contains fallback language.

Bloomberg Data License offers a data file for firms to identify legacy securities that have fallback language.

Bloomberg Data License has enhanced its existing reference data sets to include compounding rates (see section 4.1). Bloomberg has also enhanced corporate actions data set regarding consent solicitations for term amendments.

Bloomberg Data License will all provide BISL calculations related to IBOR fallback.

1.5 How has Bloomberg engaged with clients to communicate product plans to offer support for ARRs?

Bloomberg Terminal subscriber outreach is centralized at RFR <GO> and the sales relationship process. Updates, white papers, thought leadership are posted in the “resources tab” on RFR <GO> (below).

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1.5 (cont.)

How has Bloomberg engaged with clients to communicate product plans to offer support for ARRs?

Information is also shared with the public at: https://www.bloomberg.com/professional/solution/libor-transition/:

• Bloomberg Selected as Fallback Adjustment Vendor

• Frequently Asked Questions on IBOR Fallback Adjustments

• IBOR Fallback Rate Adjustments Rule Book

• IBOR Fallback Test Data

• IBOR Fallback Sample Calculation

• APAC Benchmark Reform Resources

We conduct a LIBOR Transition webinar series with ISDA. Replays can be found on RFR <GO> on the Bloomberg Terminal under “Webinars.”

1.6 Does Bloomberg have any external dependencies that will impact the product development timeline?

Currently, because we have access to fallback calculation and IBOR rate-setting data, we do not believe that we have any external dependencies.

1.7 Does Bloomberg have a defined product development release strategy for IBOR transition? Does it include key milestones and capabilities?

Bloomberg is deploying solutions and researching market needs. Bloomberg anticipates new development and capabilities will arise as the market matures. For example, clearinghouses deciding to discount by SOFR would drive new requirements.

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2.0 What level of support for ARRs is provided in your current / latest version of the product?

Bloomberg is deploying solutions now.

Bloomberg supports all new risk-free rate securities, has deployed new risk-free rate curves and a comprehensive set of analytics and indexes based on the IBOR replacements. Security description pages (DES <GO>) under “coupon” contain fallback language.

Please consult RFR <GO> on the Bloomberg Terminal for specifics. Subscribers can also hit <Help> <Help> to access the Analytics desk for Bloomberg Terminal and Bloomberg Data license functionality. Bloomberg representatives are also available.

2.1 What functionality does/will Bloomberg offer to help banks migrate to ARRs?

Bloomberg Data License offers multiple products and functionality:

• A data set that identifies LIBOR securities and their fallback language;

• Enhancements to existing reference data sets to include relevant RFR data points;

• Enhancements to support new fields regarding consent solicitation for corporate actions;

• A data set for the BISL fallback calculations.

The Bloomberg Terminal service includes functionality to support the new risk-free rates. In addition, Bloomberg offers scenario analysis tools through MARS <GO>.

2.2 What data attributes will Bloomberg solution support?

The new risk-free rate compounding schedules and other related fields are supported throughout the Bloomberg eco-system.

2.3 Does Bloomberg’s product offer an out-of-the-box solution to conduct valuation impact assessments for transitioning to ARRs?

Yes, please see RISK <GO> on the Bloomberg Terminal or www.bloomberg.com/libor for further details.

2.4 Will Bloomberg’s product offer an out-of-the-box solution for reference data updates to support migration to ARR?

Yes. Currently, the risk-free rate solutions have been deployed throughout the Bloomberg ecosystem, including the Bloomberg Terminal and Bloomberg Data License. Many third parties that integrate with Bloomberg data have made changes to support the migration.

2.5 How will Bloomberg’s product calculate SOFR (e.g., simple average SOFR in arrears, compounded average SOFR in arrears)?

Bloomberg supports multiple calculation methodologies.

2.6 Will Bloomberg’s product support back office capabilities such as accounting, reporting and settling for managing SOFR?

Yes.

Section 2: IBOR Transition Solutions for customers

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2.7 Is there any guidance that Bloomberg still needs from the industry in order to determine implementation timelines updates?

Requirements for alternative reference rates in developed countries is generally known (see question 4.3).

2.8 Are you prepared for the following capabilities? PORT, AIM, TOMS, MARS, HEFF?

As an initial matter, IBOR transition to new risk-free rates (“RFR”) begins with the Bloomberg Terminal. The Terminal is responsible for bringing the IBOR rates into the Bloomberg “ticker plant” so the data can be distributed throughout the Bloomberg eco-system. Core fixed income and risk analytics create IBOR curves and other metrics. Other functions consume the IBOR data, curves and other metrics and integrate with core fixed income analytics.

PORT

A set of RFR analytics fields were introduced into PORT in June 2020 and are currently populated for five currencies. Later this year and early next year these fields will be activated for additional RFR curves. PORT’s risk models and hybrid performance attribution currently use the IBOR curves as input data. These models will be transitioned to RFR analytics as a function of liquidity in the RFR markets.

All RFR updates and statuses can be found on RFR<GO>.

There are no additional fees associated with calculating RFR analytics, enterprise reporting or other functionality that rely on these analytics.

MARS

MARS supports, in production, the ability to value and calculate risk on a range of RFR-based derivatives and cash securities.

AIM

AIM supports, in production, the ability to create trades/orders for SOFR/ESTR based swaps. For value SOFR/ESTR based swaps, AIM relies upon the MARS pricing engine for all derivative valuation, and this is in production.

AIM is in the process of updating the discounting methodology that is used for cleared & OTC swaps, in order to come into line with clearing house methodology updates. This will include enabling admins to go into the SWPM <GO> function on the Bloomberg Terminal to change to change the discounting curves on individual swaps and facilitate a spreadsheet-based update to these identified swaps.

TOMS

TOMS and ETOMS support, in production, the ability to create trades/orders for SOFR/ESTR based swaps. For value SOFR/ESTR based swaps, no work necessary, because TOMS relies upon the Bloomberg core fixed income pricing and analytics for all calculations, and these are in production.

HEFF

MARS HEFF leverages the MARS <GO> function to value the instruments supported for hedge accounting purposes. As such, please refer to MARS updates on coverage/scope.

With regard to any MARS HEFF product enhancements related to impact of interest rate reform to hedge accounting standards, we are still monitoring the final issuance of IFRS changes/updates.

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2.9 How are Bloomberg’s electronic trading, electronic trade negotiation, and trade confirmation features affected by the IBOR transition?

Please refer to RFR <GO> for the latest information on trading short-term interest rate (STIR) products on Bloomberg.

Bloomberg trading and trade-related features support trading in new swaps benchmarked to the new alternate rates alongside our current LIBOR and STIR products.

Short Term Interest Rate (STIR) products are available via BBTI.

Outrights supported:

• USD: Fixed v FedFunds, Fixed v SOFR, FOMC-dated FedFunds

• EUR: Fixed v EONIA, ECB-dated EONIA, Fixed v €STR & ECB-dated €STR

• GBP: Fixed v SONIA, MPC-dated SONIA

• CHF: Fixed v SARON

• JPY: Fixed v TONAR

• AUD: Fixed v RBACOR, RBA-dated RBACOR

Basis supported:

• USD: FedFunds v LIBOR, SOFR v LIBOR, SOFR v FedFunds

• EUR: EONIA v EURIBOR,

• €STR v EURIBOR & €STR v EONIA

• GBP: SONIA v LIBOR

Platforms and venues support:

• RFQ available via BBTI and ALLQ <GO>

• Unwinds/compression trading via BOLT

• Voice trade affirmation via VCON

• Clearing via LCH, Eurex, CME.

2.10 For legacy IBOR linked positions, is Bloomberg working on a solution that would allow for a systematic transition of those positions to alternative rates (i.e., “operationalizing” fallback rates)?

Bloomberg is currently researching the best approach and will be working with customers to help ensure a smooth operational transition.

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3.0 In what phase is the transition roadmap currently in?

Bloomberg is currently deploying solutions.

3.1 When will solutions be deployed?

Bloomberg has already introduced solutions that include, but are not limited to scenario analysis, data licenses, trade execution and fallback adjustments. Bloomberg will continue to deploy solutions to support LIBOR transition.

Which domestic risk free rates (RFR) will be supported and when?

RFR Status

CORRA (CAD) In production

ESTR (EUR) In production

SOFR (USD) In production

SONIA (GBP) In production

SARON (CHF) In production

TONAR (JPY) In production

AONIA (AUD) In production

HONIA (HKD) In production

Which domestic RFR curves will be supported?

RFR Status

CORRA (CAD) In production

ESTR (EUR) In production

SOFR (USD) In production

SONIA (GBP) In production

SARON (CHF) In production

TONAR (JPY) In production

AONIA (AUD) In production

HONIA (HKD) In production

For further details, please navigate to Bloomberg Swap Curve Builder ICVS <GO>.

Section 3: Transition implementation planning

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3.2 Are there any challenging aspects of product development to support ARRs?

No.

3.3 Does Bloomberg intend to provide clients with an ARR technology transition checklist?

No.

3.4 What additional investment will clients have to make to incorporate IBOR updates/upgrades?

There are no additional fees for LIBOR transition for the Bloomberg Terminal service. For other products, it depends upon the level of engagement (e.g. the products and services) that the client has with Bloomberg.

3.5 How will the capabilities be released (patch, upgrade, configuration change, other)?

It depends upon the product. Terminal updates will occur as the functionality is deployed. All relevant release notes, descriptions and changes will be reflected on RFR <GO>.

3.6 Is there a testing plan? Yes.

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4.0 What additional products and enhancements will Data License provide?

• Bloomberg Data License have created a (L)ibor Fallback data set, which details fallback language for securities attached to an IBOR.

• Bloomberg Data License have created a data set for the BISL fallback calculations.

• The corporate actions data set has been enhanced to provide for consent solicitations.

4.1 When looking at bonds on the Terminal, where can I find fallback language/data?

Information on fallback provisions can be found on the security description page (DES<GO>) under “Coupon.” Users can also run the fields listed below using the FLDS <GO> function. Please note that these fields also available via Bloomberg Data License. Please contact your sales rep for more details.

Field identifier Field mnemonic

DW365 FALLBACK_DEFINED_IND

DW367 FALLBACK_TYPE

DW368 REF_BANK_DEFINED_IND

DW369 REF_BANK_DETER

DW370 REF_BANK_NAMES

DW371 FALLBACK_BENCH

DW537 NO_FALLBCK_REASN

DW538 MARKT_DISRUPTION_TRIGGR

DW539 PRE_CESSATION_TRIGGR

DW540 PERMNNT_CESSATION_TRIGGR

DW541 EARLY_OPT_IN_TRIGGR

DW542 PCT_OF_COLLTRL_TRIGGR

DW543 NOT_SPECIFID_TRIGGR

DW544 TRIGGR_TYPE

DW546 THIRD_PARTY_DESGNTN

DW547 ALTRNTVE_REFRNCE_RATES_LANG

DW548 ALTRNTE_BENCHMRK_THIRD_PARTY

DW549 ALTRNTE_RATE_METHODLGY

Section 4: Bloomberg Data License & security-level preparations

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4.2 What new calculation functionality is Bloomberg preparing to support across Fixed Income instruments?

Calc methodology Corp Govt Pfd Mtge Muni M-Mkt Loans

Simple Average Y N/A Y N/A Y Y N

Daily Compounding Y N/A Y Y N/A N N

Compounded Average/In Advance

N/A N/A N/A Y N/A N/A N/A

Cumulative Index Y N/A Y N/A N/A N/A N/A

Term N/A N/A N/A N/A N/A N/A N/A

4.3 Which rates are currently supported for FI securities?

BBG ticker Currency Day count

Refix calendar

Publish date/time

Time zone

Description

SOFR (SOFRRATE)

USD ACT/360 GT (US Govt Bond Market)

8 AM Following Business Day

New York Secured rate that covers multiple overnight repo segments

SONIA (SONIO/N)

GBP ACT/365 England 9 AM Following Business Day

London Unsecured rate that covers overnight wholesale deposit transactions

CORRA (CAONREPO)

CAD ACT/365 Canada 4 PM Same Day

Toronto Volume-weighted average of overnight repo transactions conducted through inter-dealer brokers

AONIA (RBACOR)

AUD ACT/365 Sydney & Melbourne

9 AM Following Business Day

Sydney Unsecured rate that captures the bank transactions in the domestic interbank market for overnight funds

EONIA (EONIA)

EUR ACT/360 Target 9 AM Following Business Day

Brussels Unsecured rate that captures interbank lending rates in the EU and EFTA

SARON (SSARON)

CHF ACT/360 Switzerland 6 PM Same Day

Zurich Secured rate that reflects interest paid on interbank overnight repos

TONAR (MUTKCALM)

JPY ACT/365 Tokyo 10AM Following Business Day

Tokyo Unsecured rate that captures overnight call rate market

€STR (ESTRON)

EUR ACT/360 Target 9 AM Following Business Day

Frankfurt Unsecured rate that captures overnight wholesale deposit transactions

RUONIA (RUONIA)

RUB ACT/365 Russian Federation

3 PM Following Business Day

Moscow Unsecured rate that captures overnight ruble borrowing by banks with a minimum credit risk

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4.3 (cont.)

Which rates are currently supported for FI securities?

Indexes (BBG Ticker)

Currency Day count

Refix calendar

Publish date/time

Time zone

Description

SORA (SIBCSORA)

SGD ACT/365 Singapore 6:30 PM Same Day

Singapore Unsecured rate that captures interbank SGD overnight cash transactions brokered in Singapore

HONIA (HOISHKD)

HKD ACT/365 Hong Kong 4PM Same Day

Hong Kong Unsecured rate that captures interbank HKD overnight funding transactions.

TLREF (BISTTREF)

TRY ACT/365 Borsa Istanbul

3:50 PM Same Day | 12:45 PM on Half Days

Turkey Rate that captures overnight repo transactions secured by TL-denominated government debt.

4.4 What is Bloomberg doing to capture events where a bond linked to IBOR changes to an RFR index before IBOR cessation?

Bloomberg is enhancing the consent solicitation record with a suite of new fields which will capture summary coupon terms, including the new benchmark, the new quoted margin, the adjustment spread (if applicable), and the date that these changes will take effect. There have been a number of cases where securities have changed from GBP LIBOR to SONIA via a consent solicitation corporate action event. Existing Data License Fixed Income Corporate Actions Bulk will also be enhanced to include these new fields. Please contact your sales rep for details.

4.5 What additions to the Security Master File will be made to accommodate IBOR transition?

Field ID Description Definition Status

FL142 Float Pay Holiday Calendar

The calendar in which the interest rate pays. Available

FL143 Float Refix Holiday Calendar

The calendar in which the interest rate refixes. Available

FL136 Lockout Period

Indicates the number of days prior to the end of the current coupon rate observation period where the current rate will cease being subject to reset. The number of days captured in this field is inclusive of the final rate reset date.

Available

FL031 Current Coupon

Current period's interest rate for the security. Available for floating rate securities. This field will typically return the latest value from Floater Coupon History (FL050, FLT_CPN_HIST). For bonds with daily reset compounding structures, this will return the annualized rate for used for accrued interest calculations for the corresponding settlement date.

Available

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4.5 (cont.)

What additions to the Security Master File will be made to accommodate IBOR transition?


DS033 Coupon Current interest rate of the security. To identify zero coupon securities, use the Zero Coupon Indicator (DS174, ZERO_CPN).

Floating Rate Corporates

For securities where the rate for the current period is not yet updated in Floater Coupon History (FL050, FLT_CPN_HIST) this may return an estimated rate typically derived by adding Floater Spread (bp) (FL001, FLT_SPREAD) to the current index value in the Reset Index (FL012, RESET_IDX). For Brazil Taxa DI-Over linked securities where the Calculation Type (DS138, CALC_TYP) equals 1368 or 1401, this field returns the calculated interpolated rate without the spread. For bonds with daily reset compounding structures, this will return the estimated annualized rate for coupon cash flow calculations for the corresponding settlement date. Null values will be present when calculations are either unable to be currently supported and/or when interest is calculated at the end of each period.

Preferreds

Annualized coupon rate. Returns the coupon in either percentage or dollar/currency quote. Dollar Quoted Indicator (DX100, IS_DOLLAR_PFD) can be used to identify the quote type.

Loans

For floating rate loans, coupon is derived as the sum of Last Index Value (FL220, LAST_INDEX_VALUE) plus Current Margin (LN174, LN_CURRENT_MARGIN). Both components must have data for coupon to return a value.

For fixed rate loan, coupon is derived directly from Loan Fixed Coupon (LN043, LN_FIXED_CPN).

Commodities

The coupon value for swap note futures will be returned.

Currencies

Annualized coupon rate of the dual currency deposit (DCD). This is the enhanced coupon rate obtained by combining the bank funding rate and the option premium of the call option sold by the investor.

Fixed Income Indices

For fixed-income indices, this is the par-weighted average coupon of all members of the index.

Available

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4.5 (cont.)



DS033 Coupon Portfolio

Weighted average coupon of holdings.

Mortgages

Returns the most recently reported rate.

Available

FL133 Float Days Prior

Number of prior business days required to find the reference rate used for a coupon rate refixing.

Available

DW382 Compounding Interest Indicator

Indicates if a daily refix floater applies daily compounding methodology for computing a periodic floater rate.

Available

DW383 Reset Day Convention

Specifies the methods in which the daily rate may reset due to a non-business day, weekend, or holiday.

Returns include:

Same Day Reset — the first business day after the applicable Reset Date.

Prior Reset — if the Reset Date is not a business day, then such Determination Date means the business day immediately preceding the applicable Reset Date.

Following Reset — if the Reset Date is not a business day, then such Determination Date means the business day immediately following the applicable Reset Date.

Available

FL134 Float Digits Precision

The number of digits to which the rate is rounded.

Available

DW465 Lockout Effective Date

First date of a Lockout Period (FL136, FLT_LOCKOUT_DAYS) for a daily reset floating rate note given the Next Coupon Settle Date (DS040, NXT_COUPON_SETTLE_DT).

Available

DW416 Pay Delay Days Indicates the number of days the interest payment is delayed from the end of the interest period.

Available

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4.5 (cont.)



FL245 Observation Period Adjusted Days

Indicates the number of days the observation period for the rate determination is shifted from the interest period.

Available

FL246 Observation Period Adjustment Holiday Calendar

Business day calendar applied to shift the rate observation period from the interest period. The number of business days is determined by Observation Period Adjusted Days (FL245, OBSRVTN_PERD_ADJSTD_DAYS).

Available

DW506 Payment Delay Holiday Calendar

Business day calendar applied to delay the payment allocation date from the interest period. The number of business days is determined by Pay Delay Days (DW416, PAY_DELAY_DAYS).

Available

FL245 Observation Period Adjusted Days

Indicates the number of days the observation period for the rate determination is shifted from the interest period.

Available

FL246 Observation Period Adjustment Holiday Calendar

Business day calendar applied to shift the rate observation period from the interest period. The number of business days is determined by Observation Period Adjusted Days (FL245, OBSRVTN_PERD_ADJSTD_DAYS).

Available

DW506 Payment Delay Holiday Calendar

Business day calendar applied to delay the payment allocation date from the interest period. The number of business days is determined by Pay Delay Days (DW416, PAY_DELAY_DAYS).

Available

DW524 Round Accrual Per Bond Indicator

Indicates that accrued interest is rounded on the cash value of one bond returned in Accrued Interest Paid Per Bond (DS739, INT_ACC_PER_BOND) before multiplying by face BQ Face Amount (PX020 BQ_FACE_AMT).

Available

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