Ce diaporama a bien été signalé.
Nous utilisons votre profil LinkedIn et vos données d’activité pour vous proposer des publicités personnalisées et pertinentes. Vous pouvez changer vos préférences de publicités à tout moment.

The Implications of Transitioning from IBOR

In this new Accenture Finance & Risk presentation we explore the implications surrounding the transition away from the IBOR benchmark to alternate reference rates.

Les commentaires sont fermés

  • Identifiez-vous pour voir les commentaires

The Implications of Transitioning from IBOR

  1. 1. JANUARY 2019 TRANSITIONING FROM IBOR – THE IMPLICATIONS Copyright © 2019 Accenture. All rights reserved. 1 ACCENTURE FINANCE & RISK
  2. 2. Agenda Copyright © 2019 Accenture. All rights reserved. Context1 Discussion Topics2 Key Metrics3 Alternative Risk-free Rate Landscape4 Impacts5 Copyright © 2019 Accenture. All rights reserved. 2
  3. 3. Copyright © 2019 Accenture. All rights reserved. IBOR: THE CONTEXT A number of interbank offered rates (IBORs) are being replaced by Alternative Risk-Free Rates (ARFRs)1 LIBOR replacement impacts USD 370 trillion in existing contracts that must be amended globally2 Financial services organizations are assessing the impact of the transition Transitioning from IBOR exposes firms to multiple challenges 1 2 3 4 3 1. IBOR Global Benchmark Transition Report June 2018.ISDA, AFME, SIFMA, ICMA, 2018: http://assets.isda.org/media/85260f13-66/406780f5-pdf/ 2. The $370 Trillion Benchmark Challenge. ISDA, February 5, 2018: https://www.isda.org/2018/02/05/the-370-trillion-benchmark-challenge/
  4. 4. Discussion Topics Program Mobilization Maturity of organizations’ IBOR Transition Program (e.g., plan, governance, impact estimate, and maturity) 1 Regulatory Engagement Regulatory communication and enquiry regarding impact assessment and risk mitigation plan 2 Technology Innovation Technology-based tools, capabilities and innovations to accelerate IBOR Transition (e.g., Artificial Intelligence, Natural Language Processing, Data-Driven Analysis) 3 Impact Analysis Dimensions Key impact dimensions and approach to quantify exposure (e.g., Product, Legal, Finance, Infrastructure and Governance) 4 Key Challenges Key challenges and high impact to an organization (e.g., market adoption, valuation and risk management, market liquidity, contract remediation, exposure analysis) 5 Copyright © 2019 Accenture. All rights reserved.Copyright © 2019 Accenture. All rights reserved. 4
  5. 5. 1., 2., 3.: IBOR Global Benchmark Transition Report (June 2018): https://www.isda.org/a/OqrEE/IBOR-Transition-Report.pdf 0 10 20 30 40 50 60 70 80 Market Adoption Valuation / Risk Management LiquidityLegal Infra-structure New Contract Transition2 47% in 2 Years Challenges1 0% 5% 10% 15% 20% 25% 30% 35% 40% 45% 50% Unknown 0 BN -1 BN 1 BN - 100 BN 100 BN - 500 BN > 500 BN IBOR Exposure3 Key Metrics (1 of 2) Copyright © 2019 Accenture. All rights reserved.Copyright © 2019 Accenture. All rights reserved. 5
  6. 6. 1. IBOR Global Benchmark Transition Report (June 2018): https://www.isda.org/a/OqrEE/IBOR-Transition-Report.pdf 2. Alternative Reference Rate Committee (ARRC), Second Report of the Alternative Reference Rate Committee (March 2018): https://www.newyorkfed.org/medialibrary/Microsites/arrc/files/2018/ARRC-Second-report Key Metrics (2 of 2) Not Mobilized Initiated Internal Communication Plan Budget 24% 53% 12% 11%IBOR Program Mobilization1 34 0.5 0.6 0.5 0.3 0.9USD Trillions Outstanding IBOR Exposure (2021)2 0% 10% 20% 30% 40% 50% 60% 70% 80% 90% 100% OTC Derivs ET Dervis Business Loans Consumer Loans Bonds Securitizations Copyright © 2019 Accenture. All rights reserved.Copyright © 2019 Accenture. All rights reserved. 6
  7. 7. Alternative Rate ESTER Reformed SONIA SARON SOFR TONAR Administrator European Central Bank Bank of England SIX Swiss Exchange Federal Reserve Bank of New York Bank of Japan Overnight Rate By October 2019 Term Rate Under Consideration Under Consideration Under Consideration End 2021 Under Consideration Secured Unsecured Unsecured Secured Secured Unsecured • Overnight vs. Term Rates: Lack of forward looking term structure and working to develop term rates. • Credit Risk Premia: Secured excludes credit spread while unsecured have smaller credit spread than LIBOR. • Fragmented Market: Varied implementation, data source, timelines may result in a fragmented application. 1. IBOR Global Benchmark Transition Report June 2018.ISDA, AFME, SIFMA, ICMA, 2018, Working Groups: http://assets.isda.org/media/85 260f13-66/406780f5-pdf/ Alternative Risk-Free Rate Landscape7 Copyright © 2019 Accenture. All rights reserved.Copyright © 2019 Accenture. All rights reserved. 7
  8. 8. Organizational Impacts For financial firms operating globally, the effects of multiple jurisdictions using different Risk-Free Rates should be considered as this can seriously affect decision making at the business and organization levels. Products currently offered to clients as well as future product offering decisions should be evaluated based on the new Risk-Free Rate landscape. PRODUCTS GLOBAL The scale of the transition impacts a large number of financial firms, product ranges and numerous geographies, with different timelines for completing the change. MULTIFACETED IMPACT LEGAL Banks are expected to review, analyze, amend and renegotiate thousands of contracts linked to the IBORs. Copyright © 2019 Accenture. All rights reserved.Copyright © 2019 Accenture. All rights reserved. 8
  9. 9. Product Impact: Assess IBOR-linked products to evaluate exposure by key parameters (e.g., legal entity, currency, maturity). Analyze IBOR impacted products Quantifying percentage instruments expiring / remaining Inventory of risk models linked to IBOR Scenario-based analysis Legal Documentation Impact: Financial firm should conduct an assessment and evaluation of the impacted legal documents. This should help size the scale and administrative effort on their part to amend legal documentation for new alternative rates. Evaluate the adequacy of fall back provisions Review and analyze impacted contracts requiring amendments Contracts with obligation actions Effort estimation to transition to RFRs Impact Analysis Dimensions (1 of 3) Copyright © 2019 Accenture. All rights reserved.Copyright © 2019 Accenture. All rights reserved. 9
  10. 10. Financial Impact: Produce analytics to evaluate the impacted positions and associated market risk, credit risk, risk weighted assets, balance sheet and P&L values. Process and Technology Impact: Analytics on the impacted processes and procedures can help determine infrastructure configurations and enhancements. Impact Analysis Dimensions (2 of 3) Review and analyze capital and risk of impacted positions Potential tax considerations Assess and analyze market value of impacted positions by platform, geography and entity Analyze impacted P&L and associated trading books Visualization of impacted enterprise IBOR linked operational processes Evaluate curve data sets for trading, valuation and reference data systems Effort estimation and process, and critically assess process Analyze stack of impacted enterprise technologies and platforms Copyright © 2019 Accenture. All rights reserved.Copyright © 2019 Accenture. All rights reserved. 10
  11. 11. Impact Analysis Dimensions (3 of 3) Governance and Stakeholder Impact: Creating analytics on platform ownership and stakeholders to support the assessment of control adequacy, delivery ownership and stakeholder coverage, and on governance model to facilitate the transition. Assessment of control framework for transition risks Analyze and assess key inflight initiatives and dependencies Stakeholder map across business lines, enterprise functions, and technology Copyright © 2019 Accenture. All rights reserved.Copyright © 2019 Accenture. All rights reserved. 11
  12. 12. Legend ESTER: Euro Short-Term Rate IBOR: Inter-Bank Offered Rate LIBOR: London Interbank Offered Rate P&L: Profit and Loss RFR: Risk-Free Rate SARON: Swiss Average Rate Overnight SONIA: Sterling Overnight Index Average SOFR: Secured Overnight Financing Rate TONAR: Tokyo Overnight Average 12 Copyright © 2019 Accenture. All rights reserved.
  13. 13. . Accenture, its logo, and High Performance Delivered are trademarks of Accenture. About Accenture Accenture is a leading global professional services company, providing a broad range of services and solutions in strategy, consulting, digital, technology and operations. Combining unmatched experience and specialized skills across more than 40 industries and all business functions—underpinned by the world’s largest delivery network —Accenture works at the intersection of business and technology to help clients improve their performance and create sustainable value for their stakeholders. With more than 469,000 people serving clients in more than 120 countries, Accenture drives innovation to improve the way the world works and lives. Visit us at www.accenture.com Disclaimer This presentation is intended for general informational purposes only and does not take into account the reader’s specific circumstances, and may not reflect the most current developments. Accenture disclaims, to the fullest extent permitted by applicable law, any and all liability for the accuracy and completeness of the information in this presentation and for any acts or omissions made based on such information. Accenture does not provide legal, regulatory, audit, or tax advice. Readers are responsible for obtaining such advice from their own legal counsel or other licensed professionals. 13 Transitioning from IBOR – The Implications Copyright © 2019 Accenture. All rights reserved.

×