LIBOR TRANSITION SERVICES FOR FINANCIAL INSTITUTION, POWERED BY mind+machine™

Streamline Your LIBOR Transition

• 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