LIBOR Transition

With the increased expectation of some LIBORs discontinuation, the overnight benchmark changes and the increasing regulatory requirements related to benchmarks, a clear quantitative finance perspective on the impacts for benchmark-linked derivatives is becoming paramount.

Financial institution and the end-users of interest rate derivatives face many challenges when navigating through those changes and their impacts. The impacts are far reaching and relate to not only to the legal and operational issues but also to pricing, risk, modelling, validation and implementation in systems.

muRisQ Advisory has an extensive experience related to benchmarks and LIBOR transition. We have published on the subject since more than 2 years and have modeled and implemented the impacts in theory and in practice. We have been guest speaker at major academic and practitioner conferences in the last 18 months (see list at the bottom of the page).



We have created a set of introductory videos. Currently three of those videos are available on our Youtube channel. More videos will be added in the coming weeks.
  1. Benchmarks: tenor deposit and overnight (11:32)
  2. Why a transition? (15:01)
  3. Overnight transition: EFFR to SOFR and EONIA to ESTR (21:10)
  4. CCP big bang - EUR (6:32)
  5. CCP big bang - USD (21:42)
  6. IBOR fallback - overview (16:40)
  7. IBOR fallback - adjusted RFR (18:06)
  8. IBOR fallback - spread (17:11)
  9. IBOR fallback - value transfer (17:34)
The videos are at the introductory level for each subject. A lot more material is available for workshops and advisory engagements. The slides of the videos are available at: http://ssrn.com/abstract=3568503.



Our libraries include the Fallback Transformers which allow to apply the exact fallback details to actual trades and portfolios. The transformation details include overnight composition, period offset, spread applicable, and discontinuation date. It is suitable for what-if analysis and risk management.



We help institutions in this regards in several ways:

Technical workshops

  • Public workshops. Recent presentations: WBS Interest Rate Reform conference (London, 4 March 2020), WBS Interest Rate Reform conference (Frankfurt, 26 March 2020). Planned presentation: QuantMinds (Amsterdam, 15 May 2020)
  • In-house tailor-made workshops on the quantitative finance impacts (valuation, risk, value transfer, model validation, new instruments). Typical agenda available on our training page.

Independent impact assessment

  • We use our own production grade systems, including Fallback Transformers, developed over the last years
  • Run existing different hypothesis for fallbacks and spreads on exiting portfolios
  • Analysis of re-papering and protocols impacts, cost of protocol signature
  • Analysis of value transfer on actual portfolios
  • Change of collateral/discounting: CCP big bang and bilateral. 

Implementation advisory

  • Support of quantitative analysis and risk groups in implementation (based on more than two years of internally developed research and systems)
  • OIS discounting, transition adjustments
  • New models development
  • Senior stakeholder support
  • New exchange traded products development
  • Reduction of existing exposure
  • Support for negotiation with counterparties


Some References:

  • Piterbarg, V., Interest Rates Benchmark Reform and Options Markets (February 14, 2020). Available at SSRN: https://ssrn.com/abstract=3537925
  • Turfus, C., Caplet Pricing with Backward-Looking Rates (January 1, 2020). Available at SSRN: https://ssrn.com/abstract=3527091
  • Henrard, M., Discounting Transition: Big Bang Impacts (February 2, 2020). Market Infrastructure Analysis, muRisQ Advisory, February 2020. Available at SSRN: https://ssrn.com/abstract=3530464
  • Lyashenko, Andrei and Mercurio, Fabio, Looking Forward to Backward-Looking Rates: Completing the Generalized Forward Market Model (November 6, 2019). Available at SSRN: https://ssrn.com/abstract=3482132
  • Henrard, M., LIBOR: Don't fallback, step forward. Wilmott Magazine, 2019(104): 24–-35, November 2019.
  • Henrard, M., Answer to 'Consultation on Final Parameters for the Spread and Term Adjustments in Derivatives Fallbacks for Key IBORs' Issued by ISDA (October 22, 2019). Market Infrastructure Analysis, muRisQ Advisory, October 2019. Available at SSRN: https://ssrn.com/abstract=3476530 
  • Henrard, M. SOFR Discounting Transition: Multi-Curve and Quantitative Perspective (October 28, 2019). Market Infrastructure Analysis, muRisQ Advisory, October 2019. Available at SSRN: https://ssrn.com/abstract=3478769
  • Henrard, M. LIBOR fallback and quantitative finance. Risks, 7(88), August 2019. Open Access article available at https://doi.org/10.3390/risks7030088.
  • Lyashenko, A. and Mercurio, F. (2019). Libor replacement: a modelling framework for in-arrears term rates. Risk.net. Published online 14 June 2019. Preprint at SSRN: https://ssrn.com/abstract=3330240 (February 6, 2019)
  • Henrard, M., A Quant Perspective on IBOR Fallback Consultation Results (January 1, 2019). Market Infrastructure Analysis, muRisQ Advisory, January 2019. Available at SSRN: https://ssrn.com/abstract=3308766 
  • LIBOR Fallback transformers! Market Infrastructure blog, muRisQ Advisory, October 2018.
    Available at https://murisq.blogspot.com/2018/10/libor-fallback-transformers.html.


Our expertise has been recognized by the market as documented from the invitations to many practitioner and academic finance conferences and seminars. Marc has been invited as workshop lecturer, guest speaker or expert panelist at the following events: