Changing a universe: O/N-rate and IBOR transition efforts

Interest reference rates (benchmarks) in all major currencies have transitioned or will transition from their current benchmarks, some of which have been around for decades. In a first step, new overnight rates are introduced (so called “risk free rates” or in short RFR). In a second step term rates, i.e. EURIBOR, LIBOR etc., will be replaced or supplemented by so called “alternative term rates” (short ATR). The RFR are hereby expected to play a considerably bigger role in derivative as well as in cash markets than their predecessors currently do. The reason is that, given the current state of discussion, the ATR will be closely linked to the RFRs, leaving hardly any room for a basis to develop between the two. However, interest rate markets are facing difficult transitional periods.

On this webpage, we will occasionally post topical, informational, de-classified material, collated from our project work or from own research. The developments are confusing and dynamic. Thus, please feel free to contact us for current information and discussions:

We are happy to guide and support you in all your efforts to master these transitions – from assessing impact over planning & running the change program to adopting or newly implement valuations, methods, models and products.

[2018/11/06] Cheat sheet: Conventions of major overnight rates, including new risk free rates (RFR)

[2018/11/05] Does the IBOR transition affect your FRTB project?

[2018/09/25] IBOR-Reform: State-of-Play und d-fine IBOR Toolbox [German only]

[2018/03/26] IBOR-Ablösung – eine Übersicht: Herausforderungen für Versicherer [German only]

[2018/03/05] Revolution oder Evolution? IBOR-Ablösung – eine Übersicht [German only]