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Challenges and Roadmap for LIBOR Transition in the US
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Libor transition
LIBOR Transition updates: November Edition
Challenges and Roadmap for LIBOR Transition
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
“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
For more information or advice about Crisil’s dedicated LIBOR transition team and capabilities, please reach out to us at Sunvik.Chandan@crisil.com