Transformation and Technology

Technology related changes would be at the heart of the IBOR transition. Crisil is supporting financial institutions to design and change their technology infrastructure to meet the transition requirements

Front to back impact analysis, integration & testing covering the entire trade’s life cycle
Data and technology transformation projects across pricing, risk and collateral systems
APIs & external connectivity to consume broker/exchange data for new Market data based on RFRs
Changes to Curve Marking, and Building tools for Front Office
Time series suite readiness for proxy & backfill gaps using statistical techniques
Application testing for RFR sensitivities

Upstream and downstream systems integration
Automated and Manual Analysis of contract language, including fallback language for IBOR contracts
Re-papering trades referencing IBOR products using NLP and AI/ML solutions
Standardised contract templates and automated rules for data quality checks
Upgrade settlement systems to capture the correct clearing amount and avoid discrepancies with counterparties
Centralisation of contract management system

Impact Analysis of finance system and necessary upgradation of P&L attributes and IPV process
Determine pricing preferences and assess price information from multiple sources
Readiness of FTP framework with base rates migration by attributing to individual funding spread components
Re-validation of new basis and options risk
Changes to Treasury systems, cash management systems
Collateral systems changes due to embracing of RFR as PAI and exposure management

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For more information or advice about Crisil’s dedicated LIBOR transition team and capabilities, please reach out to us at Sunvik.Chandan@crisil.com