MANAGING LIBOR TRANSITION

New risk-free rates in Refinitiv Eikon

Feb 2020, Alex Hardouin – FI Desktop Director

WHAT IS THE IBOR REFORM CHANGE?

From the end of 2021, the FCA will no longer guarantee the production of LIBOR, leading to the real possibility that LIBOR will cease by

the end of 2021. The financial services industry is migrating away from LIBOR benchmarks towards the new risk-free rates (RFRs).

As a result, regulators and central banks have announced and released a series of overnight RFRs such as Sterling Over Night Index

Average (SONIA) in the UK, Secured Overnight Financing Rate (SOFR) in the U.S. and Euro Short-Term Rate (€STR) in the euro area.

While much of the market is expected to adopt these overnight RFRs administered by central banks, pockets of demand for term rate

benchmarks based on RFRs for loans and other cash products remain.

Central banks will not provide term RFRs, but benchmark administrators, including Refinitiv are developing such products.

Refinitiv is committed to providing the data and benchmarks clients need to adjust operating models across front, middle and back

offices and to create new financial products in light of the IBOR reforms and LIBOR transition, while also ensuring we meet the

high regulatory standards required for benchmarks.

Refinitiv is currently working on a number of initiatives, detailed in this presentation, to ensure our clients can continue to work seamlessly as

IBOR reform and the LIBOR transition develop.

2 Managing LIBOR transition

IBOR TRANSITION APP

The IBOR Transition app keeps you up to

date with global changes to interest rate

benchmarks. The app provides news and

values on a variety of rates:

• Risk-free reference rates (RFRs)

• Reformed IBOR benchmarks

• Incumbent interest rates

• Brokers RFR derivative content

(Fixing, OIS, Basis Swaps, FRAs…)

Access all new RFR data, news and analytics on the IBOR page in Refinitiv Eikon®

3 Managing LIBOR transition

Click SOFR to access SOFR related data news chart

EXCLUSIVE LIBOR TRANSITION NEWS

Click Pop Up from the Ibor App to see the News,

set up an Alert, save it to your Workspace...

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Browse Reuters News and IFR to find the latest information on LIBOR transition and new RFRs

International Financing Review (IFR)

Leading FI, capital markets, investment

banking news and commentary

To find articles and analysis from IFR, enter IFR AND “SOFR”

FIND NEW RFRS USING THE EIKON SEARCH BAR

Compound indices accrue interest as total return indices

• GBP SONIA compound index: <.RFTSONIATR> – to be

opened in a Quote

• USD SOFR compound index: <.RFTSOFRTR>

Realized rates are the realized return for each RFR over defined rolling

periods including 1M, 3M and 6M, and are expressed as percentages on

an annualized basis.

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Enter “SOFR”, “ESTR”, “SONIA”… in the Eikon Search bar to find the quotes or load a chart.

Other search expressions include “SOFR basis swaps”, “SOFR curve”, “SOFR spreads” and more.

FIND STIR FUTURE ON NEW RFRS – SOFR SAMPLE

Alternatively, use the advanced search tool for Exchange Traded Rates,

type “BNDFOSRCH” and filter by name containing “SOFR”

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Enter “SOFR future” in the Eikon Search bar – to find SOFR Stir FUTURES from CME – or use BNDFOSRCH

FIND NEW RFR DENOMINATED BONDS – SOFR EXAMPLE

Related Refinitiv Eikon Apps:

• Use bond calculators’ value to determine coupon calculations for RFR FRNs,

select a bond and type “BNDC”

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Type “GOVSRCH” to open the Eikon bond search tool

Filter by Bond Type to display bonds only

or certificates of deposits

Type “SOFR” in Quick Filters and click Underlying Index

FIND NEW RFR DENOMINATED BONDS – SOFR SEARCH RESULTS

Save your search filters to re-run

the search in one click

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Export to Excel® , open the list in Monitor, add/remove

columns to customize your display

Click Counts to display

the number of Bonds

FIND NEW BOND ISSUED ON NEW RFRS – SOFR EXAMPLE

Choose All new Issues

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Type “FINIM” to open the Fixed Income new Issues App

14 SOFR denominated

Bonds have been issued

in the past seven days

Type “index” in quick filter, choose Underlying Index

and enter “SOFR”

FIND NEW RFR DERIVATIVES – SOFR EXAMPLE

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Type “IRDOTCSRCH” to open the Eikon Rates Derivatives advanced search tool

Select Name Contains SOFR

FIND NEW RFR DERIVATIVES – SOFR SEARCH RESULTS

Save your search filters to re-run the search on one click

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Expand Contributors to view Data from Inter Dealer Brokers

Click the Pop Up Icon

to open a Quote

Here you will find

FRAs, Libor/new

RFRs Basis Swaps,

OIS

FIND NEW RFR DERIVATIVES – QUOTE DISPLAY (SOFR VS LIBOR BASIS EX.)

From a Quote, right-click on a Tenor

(5Y, for instance) and select Related/Chart

to graph the historical value

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FIND NEW RFR OIS ZERO COUPON BASED CURVES

Alternatively open a Quote and type <OISZERO> to find all

REFINITIV OIS Zero Curves including the new Curves

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Type “CURVESRCH” to open the Eikon Curves advanced search tool and find New curves to

support RFR product and valuation

Select Name Contains SOFR

USE NEW RFR OIS ZERO COUPON BASED CURVES IN CALCULATORS

Click the Curves in Zero

Curve and change to OIS

SOFR (USD), €STR (EUR)

or SONIA (GBP)

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Type “SWPR” to open the Swap Pricer calculator

REFINITIV INITIATIVES UNDERWAY

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Term reference rates: Refinitiv is evaluating administration of term reference rates

• Select market participants require interest rate benchmarks with a term structure

• Refinitiv is leveraging our existing experience administering key EU BMR compliant benchmarks in the provision of new term reference

rates

IBOR fallback language and event triggers: Refinitiv is implementing changes to our fixed income reference database

• Fallback language captured in bond notes

• Working towards standardized model for fallback events and replacement

• Bond covenant and transition changes captured

Derived analytics: Refinitiv is adding the following Analytics features

• Scenario analysis tools to help assess the impact of IRS, FRNs LIBOR based on existing portfolios

• New calculator to help calculate compounded rates for SONIA, SOFR, €STR and TONAR (Tokyo Overnight Average Rate)

• New real-time analytics-derived calculations such as Forward Swaps, Swaptions skews on the new RFRs

EIKON APP SHORTCUTS

IBOR Ibor App

SRCH Search tools home page

BNDFOSRCH Future Search tool

GOVSRCH Bond Search tool

CURVESRCH Curve Search tool

IRDOTCSRCH Rates Derivatives Search tool

FINIM New Issue Monitor App

BNDC Bond Calculator

SWPR Swap Pricer Calculator

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THANK YOU

Visit refinitiv.com

@Refinitiv Refinitiv

Refinitiv is one of the world’s largest providers of financial markets data and infrastructure, serving over 40,000 institutions in approximately 190 countries. It provides

leading data and insights, trading platforms and open data and technology platforms that connect a thriving global financial markets community – driving performance

in trading, investment, wealth management, regulatory compliance, market data management, enterprise risk and fighting financial crime.