Tax, Accounting and other impacts
- Identify tax impact due to reform-induced portfolio re-allocations (e.g. closing & opening of derivatives positions)
- Identify accounting impact (e.g. due to valuation changes, principles such as hedge accounting)
- Analyse impact on cash balances w/3P providers (e.g. custodian, collateral manager, clearing broker, FX hedging)
Product and Fund Strategy
- Define catalogue of funds/ products that provide exposure to Reference Rate Reform
- Assess potential remediation options for these funds/products (e.g. with respect to overall investment strategy, set up of new products)
- Identify options for new products and services
Valuation and Risk Models
- Analyse economic impact on valuations solely from switching to new reference rates
- Define approach for minimising adverse economic impacts or windfall profits for legacy position
- Analyse functional guidance from existing systems in the course of Reference Rate Reform (e.g. in risk systems)
- Ensure availability of data access to required time-series
Performance & Benchmarks
- Assess performance impact of portfolios having exposures to products being affected by the IBOR reform
- Analyse impact on existing performance calculation techniques/methodologies
- Identify required benchmark changes of funds (e.g. when benchmark refers to LIBOR + "x" bps)
Contract Discovery and Remediation
- Identify all contracts with direct (LIBOR indexed) or indirect provisions (e.g. deal contracts, lease contracts)
- Define a proper legal wording (including transition clauses) and evaluate existing fallbacks/provisions (e.g. side letters)
- Define timeline for amending identified contracts
- Leverage industry efforts for consistent remediation
Guidelines and Fund Documents
- Identify required guideline changes and align with PM, CAM, and Legal on relevant amendments
- Establish timeline for incorporating guideline changes in compliance systems
- Identify fund documents that require amendments (e.g. fund prospectus, KIDs) and determine relevant timelines
Market Liquidity
- Monitor liquidity levels of relevant IBORs in the course of their phase-out
- Conduct liquidity impact analyses of portfolios with “new” reference rates (incl. hedging relationships)
- Align timing of migration of funds/ holdings to new reference rates and phase in trading at new rates
Market Outreach
- Develop engagement approach and negotiation strategy across entities and regions
- Coordinate client outreach across entities and regions (e.g. when portfolio impact is identified)
- Monitor political & regulatory developments, and liaise with local institutions
- Set up Q&A database and education material
