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  • Home > 
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  • LIBOR Transition

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

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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

READ MORE ABOUT MIND+MACHINE™ FOR LIBOR TRANSITION

  • Blog Post

    LIBOR set aside – who’s next in line?

    Read the Blog Post

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