Streamline Your LIBOR Transition
Robust services for banks and financial institutions, supported by experts, made possible by platform and automation
ANALYZE DOWNSTREAM IMPACT ON PRICING AND RISK MODELS
- Model validation and redevelopment triggered by LIBOR reform under new ARRs
- Validation of pricing and CRR models with adjusted RFRs, spreads and term structure for material positions
- Validation of risk and margin models—VaR, SIMM models impacted by new ARRs
- Maintaining Hedge Accounting and performing effectiveness testing
DISCOUNT AND FORWARD CURVE CONSTRUCTION AND CALIBRATION INDEXED TO ARRS
- Single curve/Multi curve construction/calibration using 1M SOFR future and 3M future/swap instruments
- Robust yield curve generation using CME SOFR 1M/3M Futures, SOFR/FEDFUND basis swaps, and SOFT/Libor basis swaps
- Enhancement of curves and re-pricing of interest rate sensitive banking and trading book positions across all asset classes
COUNTERPARTY RISKS FROM LIBOR TRANSITION ARE ANALYZED AND AGGREGATED
- Value transfer analysis for selected portfolios and follow-up negotiations and communication with the client.
- Impact on margins and SIMM calculations which may be triggered for existing derivative transactions on transitioning to alternative RFR’s
- Analysis of time simulation of new risk factors for enhanced understanding of new and emerging risk on counterparty exposures
- Continuous Improvement includes regular and ongoing identification of opportunities through rapid prototyping and modular implementation.
PRICING LIBRARY MIGRATION AND TESTING FOR NEW BENCHMARK RATES
- Pricing Model recalibration and library migration across asset class, including structured products (MBS, ABS, and CDOs)
- Risk Sensitivity Testing in new pricing environment
- Cash flow and coupon calculation testing in the migrated library
- Current contracts are tested through the maturity/lifecycle analysis
IMPACT ASSESSMENT ON BANKING BOOK INTEREST RATE RISK AND MARKET RISK
- Impact analysis on hedges in the IAS/IFRS fair value framework for assets and liabilities
- Analysis of expected changes in NII
- Balance Sheet Impact Analysis
- Analysis of new risk factors and construction of new time series, potential risk not in modellable risk factor capital risk add on in FRTB (FUNDAMENTAL REVIEW OF TRADING BOOK)
STREAMLINED ALTERNATIVE RFR IN TREASURY SYSTEMS FOR TRADING, PRICING, AND REFERENCE DATA SYSTEMS
- Robust alternative RFR historical data availability using standard market sources
- Databases created with relevant information and metadata from contracts (terms & conditions, fall back clauses, client names, etc.)
- Implementation of alternative data with RFRs in FO/treasury systems
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