LIBOR Express simulates trade and portfolio characteristics, as well as key parameters including MTM neutral spreads for managing the LIBOR transition across front and middle office. It provides Portfolio Simulation to capture RFR Impact, Fall-back Simulation in compliance with ISDA methodology, and counterparty negotiation support.
In financial markets, the IBOR rate corresponds to the Interbank Offered Rate e.g., the rate which measures the cost of financing short-term unsecured loans by the major banks around the world.
However, these rates are "predetermined" (forward-looking) and constructed based on the declarations of the contributing banks on the basis of real transactions observed.
Since the financial crisis of 2007-2008, the loan market has suffered a drastic drop in its transaction volumes, which has fueled the concerns of market authorities about the reliability of the method of constructing IBORs based mainly on observation. This situation led the Financial Stability Council (CSF) to recommend in 2014 to reform and strengthen these benchmarks and to develop alternative reference rates anchored on real transactions and chose Risk Free Rates (RFRs) as alternatives to IBORs. The RFRs are "post-determined" (backward-looking) rates and constructed based on transactions carried out on deposits with banks overnight.
The transition to these RFR rates is a significant transformation in view of the colossal amounts of financial products linked to IBORs.
Powerful Analytical and Simulation Tool
Capable of ingesting Fusion Summit portfolios and market data at a granular level, is based on robust and well-tested quantitative analytics, and allows for flexibility for users to explore their individual scenario analysis on a bespoke basis as unexpected rate shocks/events occur and require seamless analysis on the fly.
It enables quick and low-cost integration to Financial Institutions, compared with closed technologies that require custom and costly integration. The tool is extensible and configurable for additional functionalities according to user needs and requirements on a case-by-case basis.
Highly scalable and secure
Libor Express Security is designed with help of Microsoft Security Experts and is also available on private cloud or on-premise clusters if necessary.