MANAGING LIBOR TRANSITION New riskfree rates in Refinitiv

MANAGING LIBOR TRANSITION New risk-free rates in Refinitiv Eikon November 2020, Alexandre Hardouin – Head of Rates

WHAT IS THE IBOR REFORM CHANGE? From the end of 2021, the FCA will no longer guarantee the production of LIBOR, leading to the real possibility that LIBOR will cease by the end of 2021. The financial services industry is migrating away from LIBOR benchmarks towards the new risk-free rates (RFRs). As a result, regulators and central banks have announced and released a series of overnight RFRs such as Sterling Over Night Index Average (SONIA) in the UK, Secured Overnight Financing Rate (SOFR) in the U. S. and Euro Short-Term Rate (€STR) in the euro area. While much of the market is expected to adopt these overnight RFRs administered by central banks, pockets of demand for term rate benchmarks based on RFRs for loans and other cash products remain. Central banks will not provide term RFRs, but benchmark administrators, including Refinitiv are developing such products. Refinitiv is committed to providing the data and benchmarks clients need to adjust operating models across front, middle and back offices and to create new financial products in light of the IBOR reforms and LIBOR transition, while also ensuring we meet the high regulatory standards required for benchmarks. Refinitiv is currently working on a number of initiatives, detailed in this presentation, to ensure our clients can continue to work seamlessly as IBOR reform and the LIBOR transition develop. 2 Managing LIBOR transition

IBOR TRANSITION EIKON APP Access all new RFR data, news and analytics on the IBOR page in Refinitiv Eikon® The IBOR Transition app keeps you up to date with global changes to interest rate benchmarks. The app provides news and values on a variety of rates: • Risk-free reference rates (RFRs) • Key links • Incumbent interest rates • Brokers RFR derivative content (Fixing, OIS, Basis Swaps, FRAs…) • Derived Analytics data: Term Rates, Compounded Index, Zero Curves 3 Managing LIBOR transition Click SOFR to access SOFR related data news chart

EXCLUSIVE LIBOR TRANSITION NEWS Browse Reuters News and IFR to find the latest information on LIBOR transition and new RFRs Click Pop Up from the Ibor App to see the News, set up an Alert, save it to your Workspace. . . 4 Managing LIBOR transition To find articles and analysis from IFR, enter IFR AND “SOFR” International Financing Review (IFR) Leading FI, capital markets, investment banking news and commentary

FIND NEW RFRS USING THE EIKON SEARCH BAR Enter “SOFR”, “ESTR”, “SONIA”… in the Eikon Search bar to find the quotes or load a chart. Other search expressions include “SOFR basis swaps”, “SOFR curve”, “SOFR spreads” and more. Compound indices are available for SONIA and SOFR, they accrue interest as total return indices • GBP SONIA compound index: <. RFTSONIATR> – to be opened in a Quote • USD SOFR compound index: <. RFTSOFRTR> Realized rates are the realized return for each RFR over defined rolling periods including 1 M, 3 M and 6 M, and are expressed as percentages on an annualized basis. 5 Managing LIBOR transition

FIND STIR FUTURE ON NEW RFRS – SOFR SAMPLE Enter “SOFR future” in the Eikon Search bar – to find SOFR Stir FUTURES from CME – or use BNDFOSRCH Alternatively, use the advanced search tool for Exchange Traded Rates, type “BNDFOSRCH” and filter by name containing “SOFR” 6 Managing LIBOR transition

FIND NEW RFR DENOMINATED BONDS – SOFR EXAMPLE Type “GOVSRCH” to open the Eikon bond search tool Related Refinitiv Eikon Apps: • Use bond calculators’ value to determine coupon calculations for RFR FRNs, select a bond and type “BNDC” Type “SOFR” in Quick Filters and click Underlying Index Filter by Bond Type to display bonds only or certificates of deposits 7 Managing LIBOR transition

FIND NEW RFR DENOMINATED BONDS – SOFR SEARCH RESULTS Save your search filters to re-run the search in one click Counts to display the number of Bonds 8 Managing LIBOR transition Export to Excel® , open the list in Monitor, add/remove columns to customize your display

FIND NEW BOND ISSUED ON NEW RFRS – SOFR EXAMPLE Type “FINIM” to open the Fixed Income new Issues App Choose All new Issues 71 SOFR denominated Bonds have been issued in the past 30 days Type “index” in quick filter, choose Underlying Index and enter “SOFR” 9 Managing LIBOR transition

FIND NEW RFR DERIVATIVES – SOFR EXAMPLE Type “IRDOTCSRCH” to open the Eikon Rates Derivatives advanced search tool Select Name Contains SOFR 10 Managing LIBOR transition

FIND NEW RFR DERIVATIVES – SOFR SEARCH RESULTS Save your search filters to re-run the search on one click Click the Pop Up Icon to open a Quote Here you will find FRAs, Libor/new RFRs Basis Swaps, OIS 11 Managing LIBOR transition Expand Contributors to view Data from Inter Dealer Brokers

FIND NEW RFR DERIVATIVES – QUOTE DISPLAY (SOFR VS LIBOR BASIS EX. ) From a Quote, right-click on a Tenor (5 Y, for instance) and select Related/Chart to graph the historical value 12 Managing LIBOR transition

FIND NEW RFR FORWARD SWAP CALCULATIONS Type F 4 and enter IRFORWARD to open the Forward Swap Menu and select USD SOFR Select USD SOFR 1 M Forward SOFR OIS 13 Managing LIBOR transition

FIND NEW RFR OIS ZERO COUPON BASED CURVES Type “CURVESRCH” to open the Eikon Curves advanced search tool and find New curves to support RFR product and valuation Select Name Contains SOFR Alternatively open a Quote and type <OISZERO> to find all REFINITIV OIS Zero Curves including the new Curves USD Zero Coupon SOFR CURVE vs 3 M Libor 14 Managing LIBOR transition

USE NEW RFR OIS ZERO COUPON BASED CURVES IN CALCULATORS Type “SWPR” to open the Swap Pricer calculator 15 Managing LIBOR transition

ISDA FALLBACKS – REFINITIV IS AN OFFICIAL AUTHORIZED REDISTRIBUTOR Type “IBOR” to open the IBOR App, and select the Fallbacks tab What is a Benchmark fallbacks are replacement rates that would apply to derivatives trades referencing a particular benchmark (LIBOR). Source: ISDA When ? Q 3 2021 according to BOE Complete active conversion of cash products. Where active conversion is not possible for loans, ensure robust fallbacks are adopted Source: Bank of England 16 Managing LIBOR transition

REFINITIV INITIATIVES UNDERWAY Term reference rates: Refinitiv is evaluating administration of term reference rates • SONIA Prototype delivered, see here • On going discussions with regulator to produce Term Rates for SOFR. IBOR fallback language and event triggers: Refinitiv is implementing changes to our fixed income reference database • Fallback language captured in bond notes • Working towards standardized model for fallback events and replacement • Bond covenant and transition changes captured • Available since Nov 6 th, see Data Notification Derived analytics: Refinitiv is adding the following Analytics features • Scenario analysis tools to help assess the impact of IRS, FRNs LIBOR based on existing portfolios • New calculator to help calculate compounded rates for SONIA, SOFR, €STR and TONAR (Tokyo Overnight Average Rate) • New real-time analytics-derived calculations such as Forward Swaps, Swaptions skews on the new RFRs 17 Managing LIBOR transition

KEY EIKON APP SHORTCUTS 18 IBOR Ibor App SRCH Search tools home page BNDFOSRCH Future Search tool GOVSRCH Bond Search tool CURVESRCH Curve Search tool IRDOTCSRCH Rates Derivatives Search tool FINIM New Issue Monitor App BNDC Bond Calculator SWPR Swap Pricer Calculator Managing LIBOR transition

LINKS AND RESOURCES Refinitiv Libor Transition website White Paper on IBOR reform by Refinitiv and Waters Technology SOFR as an alternative to LIBOR, blog post by Alexandre HARDOUIN SONIA Term Rate Methodology, factsheet, Press release, external Blog ISDA Fallback Data Notification 19 Managing LIBOR transition

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