Jonathan Schachter, PhD
Quantitative Modeling Specialist with over 21 years of experience in the Financial Services industry including; corporate bonds, credit-default swaps, CDOs, CLOs, ABSs, CVA, loan loss modeling, loan indemnification, and security-based loans.
The End of LIBOR (GMT)
LIBOR Transition Consulting
Starting June 2023, the U.S. dollar London Inter-Bank Offered Rate (LIBOR) will likely be discontinued. The Alternative Reference Rates Committee (ARRC) has identified the Secured Overnight Funding Rate (SOFR) as the recommended alternative rate to replace USD LIBOR.
A qualified LIBOR Transition Consultant can assist with the following challenges:
Risk Assessment
• Identify all existing contracts which reference one of the expiring benchmark rates
• Identify all contracts by product types, benchmarks, currencies, maturities, legal clauses
• Evaluate potential risks in each category: economic, legal, accounting, and tax, regulatory dependencies, risk management and systems, etc
• Construct an efficient transition strategy that includes all identified risks in the defined transition periods.
Modeling and Valuation Consulting
• Pinpoint all models that will need to be modified, restructured or dialed-in
• Identify any required new models (time series, term rates construction, credit spread
• Implement a new modeling strategy based on priority and complexity of models
• Outline the appropriate validation strategy, consistent with your institution’s model risk management strategy
Infrastructure
• Identify and evaluate current rate influence on processes, data and systems.
• Highlight impacted data systems and processes
• Adapt internal controls and processes to comply with new rates and regulations
Regulatory
• Build model scenarios to identify and measure specific financial impacts
• Define and assess potential tax implications associated with contract modifications and amendments
• Discover dependencies with associated regulatory rules and create appropriate transition plan
Why Is LIBOR Going Away?
LIBOR Transition Challenges
Despite the transition from LIBOR including a certain amount of uncertainty, a successful transition will depend on an individual entity’s planning and strategy prior to and during the expiration.
Contact Jonathan Schachter, PhD