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
The transition away from LIBOR will affect all stages of the product life-cycle, for both new and existing financial institutions. CRISIL with its suite of Analytical and Quantitative services helps clients with end to end management of LIBOR transitions, on time. Our expertise lies in curve construction and validation, new product development and valuation impact assessment, enhancement of existing pricing models to support new RFR as well as complete Model Validation for new RFR products and Time series modelling to support impacted Risk and Finance functions smooth transition to the new industry benchmarks.
CRISIL’s team of LIBOR specialists assist in the end-to-end implementation of strategic change for smooth transitioning away from LIBOR via data transformation across pricing, risk and collateral systems and thorough documentation of 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 which are equally impacted (if not more) and Contract Management and Fall-back language experience as a collaborative service provider.
The targeted 2021 date for LIBOR transition is not far away considering the amount of work and challenges which lie ahead. To discuss on some of the notable industry challenges surrounding the LIBOR transition, CRISIL GR&A and Professional Risk Managers' International Association (PRMIA) co-hosted a round-table on key issues and alternative solutions that are being pursued to meet the challenges around changes needed across a plethora of models impacting Risk Measurement, Asset Liability mismatch estimation and Transfer pricing.
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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