LIBOR transition update — Q4 2021 review
- LIBOR Transition
Chatham’s update on the LIBOR transition, summarizing recent news, upcoming deadlines, and available resources to help you stay current as the market transitions away from LIBOR.
About John
John Hutchinson is a quantitative analyst on Chatham’s technology team and a core member of the IBOR transition working group. John helped lead responses to ARRC and ISDA fallback consultations to determine how IBOR contracts should be modified to handle an IBOR cessation, which affects nearly $200T of financial contracts worldwide. One of his main goals was to minimize value transfers of derivatives and loans. With the IBOR fallbacks now determined, John has been leading an initiative to help clients most effectively handle operational changes related to fallback changes in trade valuations. To do this, John has developed risk-free rate forward curves, as well as new risk-free rate discounting and valuation capabilities.
Prior to joining Chatham, John founded a tech startup, was a tenured professor and chair of a multi-science department, and a Kavli Scholar.
Publications
LIBOR transition update — Q3 2021 review
- LIBOR Transition
Chatham’s update on the LIBOR transition, summarizing recent news, upcoming deadlines, and available resources to help you stay current as the market transitions away from LIBOR.
SOFR forward curve update and the CCP "Big Bang"
- LIBOR Transition
In connection with the U.S. market’s transition from LIBOR to SOFR, Chatham has updated our SOFR forward curve by extending it from five years to 30 years. This piece explains the nature of that update, the reasons for it, and what may be in store for forward-looking term SOFR.
Expertise
- Valuation
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