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LIBOR Express

GreenPoint Global

Digital & Retail Banking
Pricing & Analytics
Powerful, versatile, and system-agnostic LIBOR replacement/RFR management platform for loans, bonds, and derivatives.
Digital & Retail Banking
Pricing & Analytics
Powerful, versatile, and system-agnostic LIBOR replacement/RFR management platform for loans, bonds, and derivatives.

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. ​

Highly configurable ​

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.

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General information

Commercial model
Resell
Integration
Integration coming soon
Fusion Kondor
Fusion Opics
doneAvailable for all 3rd party systems
Implementation
Cloud Hosted
Website
Support
Privacy policy
Data processing countries (1)
United States of America
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How it works

The application is s scalable, subscription based TCM platform agnostic app based on Summit as the valuation engine. It is a web-based tool that is integrated with Reuters market data (included in the subscription). No implementation is required except portfolio upload.

Portfolio simulation to capture RFR impact​

Generate MTM with LIBOR/OIS/RFR discounting for LIBOR and RFR simulation Determine MTM/Spread impact of simulation trades​ Simulate RFR trades from LIBOR trades​ Quantify future impact of transition on P&L and Risk​

Fall-back simulation in compliance with ISDA methodology​

Fall-back simulation as of today – spread, trade conversion​ ISDA spread calibration based on Summit reset or pre-defined data set​ Point estimate of MTM impact across entire portfolios of multiple trade types​ Comparison of MTM impact using single ISDA spread or user-defined spread​ Scenario analysis of ISDA spread impact – look back period & mean/median​

Counterparty negotiation support for transition​

Capability to generate MTM neutral spread at counterparty/index/tenor and individual trade levels​
How it works

How it looks

Fallback Impact ​

Transition MTM Impact Analysis performed on trade level and counterparty level​ Show less

Negotiation ​

Fair Spread Analysis performed on trade level and CPTY/CCY/Index/Tenor level​ Show less

Negotiation Impact

Analysis on Transition MTM change for 1bp change in adjustment spread Show less

Discounting Impact​

Analysis on Discounting Impact on MTM change ​ Show less

Top View​

Summary of Fallback Impact and Negotiation​ Show less
screenshot container
Fallback Impact ​Negotiation ​Negotiation ImpactDiscounting Impact​Top View​

Fallback Impact ​

Transition MTM Impact Analysis performed on trade level and counterparty level​