Transitioning LIBOR in the Context of COVID-19
Live Date: Thursday, May 28, 2020, 11:00 AM EDT
Discussion points:
- Status of ISDA’s IBOR fallback consultation
- Impact on interim timelines including the possibility of the 2021 deadline shifting
- Preparing for SOFR discounting
- Liquidity of SOFR-based products
- Developments in the SOFR swap markets
About the webinar:
While the LIBOR cessation deadline hasn’t been delayed, at this time it is unclear how COVID-19 will disrupt transition efforts across the industry. With less than two years left until the expected end of LIBOR, the switch to Alternative Reference Rates (ARRs) is entering a critical phase. As the October 2020 date rapidly approaches for LCH and CME to shift from using OIS to SOFR for discounting of US dollar interest rate derivatives, this panel provides a market update and progress on the LIBOR transition focusing on derivatives market participants.
Speakers:
Ann Battle, Head of Benchmark Reform, ISDA
Ann M. Battle is Head of Benchmark Reform at ISDA where she leads ISDA’s global efforts related to the transition away from LIBOR and other benchmark reform initiatives. Ann represents ISDA on the Alternative Reference Rates Committee (ARRC) and the Interest Rate Benchmark Reform Subcommittee of the CFTC Market Risk Advisory Committee. She also leads ISDA’s global work with the FSB Official Sector Steering Group (OSSG) to implement more robust fallbacks for derivative contracts. At ISDA Ann also covers derivatives clearing and CCP-related issues, bank resolution, and netting and collateral opinions for cleared and uncleared derivatives.
Prior to joining ISDA, she was a counsel in the Legal Division, Complex Financial Institutions Section of the Federal Deposit Insurance Corporation (FDIC). Her work at the FDIC focused on resolution of systemically important financial institutions and, specifically, on domestic and cross-border issues related to derivatives and financial market infrastructures. Prior to joining the FDIC, Ms. Battle was an attorney with the law firm of Sutherland Asbill & Brennan LLP in Washington, DC, where her practice focused on derivatives and structured products (including regulation of such products), secured and unsecured lending, and capital markets transactions. Ms. Battle received her undergraduate B.S. Business Management from Georgia Tech and her J.D. from William & Mary Law School.
Liang Wu, Executive Director of Financial Engineering & Head of CrossAsset Product Management, Numerix
Liang Wu is an Executive Director of Financial Engineering and heads up CrossAsset Product Management at Numerix. Wu has previously served as VP of Financial Engineering in the Client Solution Group at Numerix. Before joining Numerix in 2015, he worked at CME Group and HSBC in Pricing and Valuation, and Model Review roles. He holds an MSc degree in Financial Engineering from Columbia University, an MSc degree in Space Physics from Rice University and a BSc degree in Geophysics from University of Science and Technology of China.
