Swift Agile Transition to new interest rate benchmarks - UK Version
Completion of SOFR Go Live Discounting switch and SONIA Base Curve Change
“CRISIL’s risk & technology team has been instrumental in supporting us for the Global markets initiative, CCP SOFR discounting switch project which completed last month. Working closely with the Desk, technology and quants teams they have helped in the RFR curve construction process, analytics and curve marking tool changes including testing the entire portfolio of more than 1 million trades for risk and PL impact. It was a significant market transition event and successful first run helped the trading desk to manage the risk due to this change better. The team also helped us in accomplishing a major milestone in terms of rebasing SONIA as the major Index for pricing & risk replacing GBP LIBOR. The work and the commitment shown was really appreciated by the senior stakeholders across desk, finance & risk.”
- Large UK based Bank
Overview
LIBOR transition represents a serious challenge for the financial services industry. The termination of LIBOR and the switch to new alternatives will affect all stages of the financial product lifecycle, for both new and existing financial institutions, and will consume significant resources and time among financial services companies around the world.
Many of the world's largest Financial Institutions are partnering with CRISIL for end-to-end support on these transitions. Our comprehensive suite of Analytical and Quantitative Services and our dedicated team of LIBOR specialists assist clients in the smooth transitioning away from LIBOR through data transformation across pricing, risk and collateral systems, and thorough documentation of the current state of operational flows, booking model and design principles for the target state. These functions are backed by CRISIL’s extensive operational experience in Finance and Treasury functions, as well as our experience as a collaborative service provider in Contract Management and our knowledge of fallback language.
Our expertise lies in curve construction and validation, assisting in RFR based new product development & roll-out, enhancement of existing pricing models to support new RFR, as well as complete Model Validation for new RFR products, and managing this change & running the impact analysis for various functions like finance & market risk.
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Client testimonial
“The CRISIL team worked with a structured and professional approach to the SOFR/ESTR curve model validation project that together with the team's exceptional technical knowledge was instrumental. Quant Project lead(QPL) led the team very well and it was the flexibility of the team together with the willingness to go the extra mile to ensure a good outcome that worked so well for this project, particularly in the areas where the approach and model configuration were being finalised alongside the model validation work starting. The team were a pleasure to work”
- From Head of Analytics, UK based large IB
“Very well structured and disciplined team. Great leadership, very interactive and collaborative throughout. The blend of on and offshore worked well for us and the onshore team managed that relationship very well. The team were very flexible in their approach, which made them extremely valuable partners and would often work way beyond the hours you would expect to ensure they came in on time making them reliable and strong on deliverables that ultimately kept the core element of SOFR/ESTR curve building and validation project on track.”
- From Head of Market and Liquidity Risk, UK based large IB
Questions?
For more information or advice about CRISIL’s dedicated LIBOR transition team and capabilities, please reach out to us at Sunvik.Chandan@crisil.com