CRISIL is actively engaged in IBOR transition with financial service firms around the world. We guide our clients in creating and executing strategies that identify and address potential challenges and smoothly navigate the journey to alternative risk-free rates.
Transformation and Technology
Documentation of current state of operational flows, booking model and design principles for the target state
Data transformation across pricing, risk and collateral systems
End-to-end implementation of strategic change for smooth transitioning away from LIBOR
Case Study: End-To-end support for a IBOR Program for a US Bank
CRISIL deployed a team of Project Managers, Business Analysts, Quantitative Modellers and Developers to support a large investment bank in its IBOR transition.
Working as part of the client’s project management office, the CRISIL team helped in planning, coordinating & tracking milestones for IBOR transition program.
Leveraging CRISIL's deep domain experience and technical expertise, the team conducted an impact assessment and helped the client design required modifications to the technology infrastructure.
Throughout the transition, the CRISL team supported the bank’s FO tech/quant teams in updating/validating FO analytics for curve marking, rates pricing models for their assumptions and limitations with RFR rates, risk models VaR & ES, collateral modelling within CCR, XVA calculation, and impact analysis on RWA for capital using Python and C#.
CRISIL assisted the client in developing & validating new RFR spread curves for SOFR & ESTR by performing tests for continuity and stability of forward rates and the locality of the interpolation and hedges. The CRISIL team helped validate rates pricing models for their assumptions & limitations with RFR rates.
CRISIL's comprehensive support allowed the bank to be fully prepared for an on-time and seamless transition.
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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