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.
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.
