The brief

A large US asset manager wanted to understand its exposure to LIBOR across a variety of their assets they held (CLOs, RMBS, CMBS etc) to identify any risks associated with the cessation of LIBOR and subsequently define a remediation strategy.

IBOR Risk text

What we delivered

3,000

TOTAL DOCUMENTS

1,100

DOCS IN SCOPE

3

Analysis

5

Weeks

20+

DATA POINTS PER DOCUMENT
  • A single searchable repository of all their asset documents to be leveraged for future analysis.
  • A view of all their contractual exposures to LIBOR categorised by the remediation pathway (e.g. Which require re-papering, which contain good enough fallbacks etc).
  • A playbook of all the language variations that can be leveraged for Client/Counterparty outreach.
  • Output report of the mined data to be ingested by various downstream systems.

What we found

  • CLO population contained more robust fallback language referencing both Term & Compounded SOFR.
  • 90% of the RMBSs that were processed had exposures to LIBOR.
  • 50% of the RMBSs exposed to LIBOR had either no fallback or a fallback ending in a “dead end” (No alternative to LIBOR).
  • Over 250 different language variations of the “One Month LIBOR” definition.

See here to find out how we do it

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