IBOR Transition

Accelerate the IBOR Transition with Confidence

Accurate, flexible and consistent pricing and valuations designed to support clients navigate the IBOR transition with confidence

The transition away from IBOR represents one of the biggest challenges facing financial services firms and demands a significant transformational effort from market participants. This transformation covers processes, models and systems, including pricing, valuation, risk management and booking. Quantifi’s next-generation IBOR replacement solution supports the construction and calibration of LIBOR replacement curves, offers accurate, extensible analytics and an open architecture that seamlessly integrates with existing systems.

 

Valuations Based on ARRs

ESTR & SOFR Curves

Risk & What-is Analysis

Risk & What-if Analysis

High Performance

High Performance

 


Key Features

A next-generation, flexible multi-curve framework
built using the latest technology innovations

 

Interest Rate Curve Construction

Interest Rate Curve Construction

Construct and calibrate to the new IBOR replacement curves including ESTR & SOFR curves and SOFR futures.
  Compensation Calculations

Compensation Calculations

Accurately calculate compensation amounts from changing IBOR to ARR to avoid impact on risk measures.
 
Full Flexibility

Full Flexibility

Supports the modelling of basis curves. An interest rate curve can be constructed as a spread over another curve. This gives clients the flexibility to model these new curves in a variety of ways.
 

Scenario & What-if Analysis

Scenario & What-if Analysis

Analyse the impact of switching a trade from an old reference rate to a new reference rate, support clients in analysing legacy trades and negotiating new terms with their counterparties.
 
Accurate Valuations

Accurate Valuations

Match the market with OIS/CSA discounting, negative rates and new ARR curves including ESTR and SOFR.
 

Fallback Analysis

Fallback Analysis

Compare the legacy IBOR deals with the new benchmark to assess impact on P&L.
 
Cross-Asset Models

Cross-Asset Models

Model library and valuation engine provides support for the new benchmarks. Strong support for cash and derivative products.
 
 

Intuitive to use

Intuitive to Use

User friendly dashboards to help analyse IBOR transition impact on bank portfolios.

 


Featured Video



IBOR Transition Panel Discussion

 

IBOR - Navigating
the Transition

Senior practitioners from HSBC, RBC Capital Markets, ING & Natwest Markets reflect on the upcoming IBOR reforms. This panel discussion covers the latest trends and challenges of navigating the IBOR transition & the adoption of alternative reference rates. 

 

Watch video