The LIBOR Transition: A Deep Dive Series

The LIBOR Transition: A Deep Dive Series
Complimentary Webinar: Part 2: Pricing after LIBOR Valuation of floating rate instruments after the point that LIBOR is declared unusable, or ceases in 2022, involves both supporting legacy products and issuing new ones.   This webinar emphasizes the quantitative and economic considerations of both challenges, including fallbacks, construction of RFR curves, and the selection of one (or several) RFRs tailored to a business’s size and needs.  The main focus is USD LIBOR, though many lessons can be carried over to other LIBOR currencies, Euribor, and other non-LIBOR IBORs.   The discussion is targeted to advanced users of LIBOR, and relies on our past deep dive into the RFR discounting transition.

November 10, 2020

11:00 a.m. - 12:00 p.m. EST
4:00 - 5:00 p.m. GMT

Presented by:
Jonathan Schachter, PhD, Arrayo
Jean-Philippe Michel, Arrayo




With the upcoming end of LIBOR, practitioners are making “should I stay or should I go” decisions on their holdings on a daily basis:  Should a LIBOR instrument be held and its fallback triggered, or should it be renegotiated in a “risk free rate” (RFR) framework?  New issuance has questions also.  For loans, which of the two RFR compounding methods is optimal?  For traded instruments, compound in arrears, compound in advance, or use term rates?

The US has particular issues:  If SOFR is used, how is the credit sensitivity accounted for?  Or, if an ABC (alternatives to SOFR: Ameribor, Bank Yield Index, or Constant Maturity Treasury) is chosen, how can they be sold to servicers and agencies?  Are fallbacks for ABCs even possible, or would an ABC-issuing bank have to have a separate SOFR infrastructure to price legacy deals?

This webinar covers the complete repricing of floating-rate positions after LIBOR ceases.  It then takes a thorough trip through RFRs, including methods to compute tenors, and the construction of spot curves follows.  RFR curves are sufficient to price vanilla swaps analogous to current fixed/float LIBOR deals, though most RFR swaps currently use money market conventions.  Optionality is the final piece in the talk.  RFRs afford unique challenges due to their raw overnight nature.  



Jonathan Schachter is a quantitative analyst with Arrayo, a boutique finance data and analytics consultancy.  He has 20 years of Wall Street experience, including positions at Goldman Sachs, Morgan Stanley, State Street, and the financial institution practice of Deloitte and Touche. Since 2010, he has focused on learning the lessons of the Great Financial Crisis, working on the Lehman bankruptcy, the London Whale episode at JP Morgan, and the tightening of standards for risk in mathematical models used in finance (e.g., Federal Reserve Board SR 11-7).  Prior to entering Wall Street in 2000, Jonathan was a research associate in the Harvard astronomy department for 10 years, and a team member on the 1999 launch of the Chandra X-ray Observatory on Space Shuttle Columbia. 

Jonathan received his A.B. in physics from Princeton, his Ph.D. in physics from the University of California at Berkeley, and his M.A. in financial mathematics from Columbia.

At Arrayo for a year and a half, Jonathan is a subject-matter expert on the LIBOR transition for global banks.  He has given talks and guest-lectured in the New York City area at Columbia, Cornell, and Fordham, Stevens Tech, and at IAQF. A frequent contributor to LinkedIn on regulatory quant matters, including founding the Regulatory Quant discussion group, he tweets as @regquant. He lives in Brooklyn with two sons, two cats, and an inspirational 92-year old father with a long past career in cellular physiology and biophysics.

  Jean-Philippe Michel is the EVP and Head of Business Development for Arrayo. He is one of the company’s owners and founders. Jean-Philippe has more than 15 years of experience working as a Business Developer, Sales Manager and Executive; with 13 of those years in the professional services industry.

Jean-Philippe has robust operational experience in service development and a proven track record as a successful business leader. He is an expert in developing business and creating solutions for large corporate customers. He was the main driver for his previous ventures’ growth and success in Belgium and France. In 2015, he moved to the United States with an idea and a dream, which led to the co-founding of Arrayo and its sustained success from scratch. He has been responsible for the New York office and Financial Services team since then.

Jean-Philippe graduated from the Université of Namur (Facultés Universitaires Notre-Dame de la Paix, Belgium) with a Master’s in Management. He also spent time studying at Saint John’s University (Queens, NY) in 2002-2003. He is multilingual and is experienced working in an international context. He was born in Boston, MA and spent most of his life in Belgium, travelling to the US on a regular basis. He came back to the US in 2015 with his wife and children where he now lives in Brooklyn, NY.


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11/10/2020 11:00 AM - 12:00 PM
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