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Ibor - benchmark rate reform: derivative discounting revisited
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The IBOR reform will result in changes to the interest rate benchmark, which may have an influence on derivatives' fair value measurement. It will have an impact on future cash flows and discount rates .Entities need to reflect these changes of the interest rate benchmark adequately in their valuation methods and systems. New IBORs need to be included into the models and the terminated IBORs need to be replaced. Collateral Accounts will be transitioned into the new World of reformed RFR, too.
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Financial markets Treasury Financial risk management Derivative valuation Ibor - benchmark rate reform Discounting