End-to-end management of the IBOR transition programme for a European G-SIB — covering all asset classes, legal remediation, system changes, and regulatory engagement across the full transition lifecycle.
With the discontinuation of LIBOR and other interbank offered rates, the client — a major European G-SIB with significant IBOR exposure across derivatives, loans, bonds, and structured products — needed a comprehensive transition programme. The bank's IBOR exposure spanned EUR, USD, GBP, and CHF benchmarks across multiple business lines, with over 50,000 contracts requiring remediation. The programme required coordination across front office, legal, operations, IT, and risk management, with tight regulatory deadlines and significant operational risk.
A benchmark transition is a transformation masquerading as a compliance project. We deployed the Ezelman SCALE™ ladder — five sequential rungs that turned 50,000 contracts into a manageable, staged programme rather than a panic sprint.
Retired legacy IBOR pricing engines, fallback libraries and ad-hoc spreadsheets before re-papering.
Single contract repository across derivatives, loans, bonds, structured — no duplicated inventories.
Re-papering engine with ISDA-protocol logic, auto-matched counterparties — 80% contracts touchless.
Anomaly detection on fallback triggers and hedge effectiveness — caught 12 material accounting mismatches.
Post-cutover operating model — treasury, risk, accounting share one benchmark master. Zero dispute risk.
Designed the full programme governance framework — steering committee structure, workstream definitions, milestone tracking, and risk escalation protocols. Established 8 workstreams covering product remediation, legal documentation, system changes, risk management, client communication, regulatory reporting, accounting impact, and operational readiness.
Led the remediation of 50,000+ contracts across all asset classes. Developed a prioritisation framework based on economic materiality, fallback clause adequacy, and regulatory deadline proximity. Coordinated with legal teams on ISDA protocol adherence, bilateral amendments, and tough legacy identification.
Managed the quantification of P&L and risk impacts from benchmark transition — including curve construction changes, valuation methodology updates, hedge effectiveness re-assessment, and VaR model recalibration. Delivered impact assessments to senior management and the board risk committee.
Coordinated all supervisory communications including ECB reporting on transition progress, EBA benchmark regulation compliance, and national competent authority notifications. Prepared quarterly supervisory updates and managed ad-hoc data requests from the SSM inspection team.
Complete programme charter, RACI matrix, risk register, and milestone tracker covering all 8 workstreams and 24-month execution timeline.
Comprehensive database of 50,000+ IBOR-referencing contracts with remediation status, fallback analysis, and priority scoring across all asset classes.
Quantitative analysis of fallback rate methodologies, spread adjustment impacts, and P&L transfer effects across all benchmark currencies and product types.
Technical specifications for 12 core system changes — including curve construction, trade booking, pricing engines, risk systems, and regulatory reporting platforms.
Structured client outreach covering 2,000+ institutional counterparties — consent solicitation, protocol adherence tracking, and bilateral amendment coordination.
Quarterly ECB transition progress reports, EBA compliance documentation, and supervisory presentation materials for SSM engagement.
The transition delivered comprehensive, on-schedule programme execution: