CAPITAL MARKETS

Navigate the
IBOR Transition

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

Accelerate the IBOR Transition

A next-generation, flexible multi-curve framework

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.

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

Risk & What-if Analysis

Flexible multi-curve framework built using the latest technology innovations

KEY FEATURES

This is How We Do it

Interest Rate Curve Construction

Construct and calibrate ESTR & SOFR curves and SOFR futures. Match the market with OIS/CSA discounting, basis curves, negative rates & new ARR curves.

Compensation Calculations

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

Scenario & What-if Analysis

Analyse the impact of switching a trade from an old reference rate to a new reference rate and support clients in analysing legacy trades.

Cross-Asset Models

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

Intuitive to Use

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

Fallback Analysis

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

WHITEPAPER

The IBOR Transition: Challenges and the Road Ahead

This paper explores the development of the IBOR reform. The first part details the status quo, some of the various aspects and challenges involved and outlines the effects of migrating from IBORs to risk-free rates (RFRs). The second part of the paper outlines the preparations firms need to make to accommodate a smooth transition.

SURVEY

How are Firms Navigating the
IBOR Transition?

Interbank Offer Rates (IBOR) play a pivotal role in the functioning of financial markets. The transition away from IBOR represents one of the biggest challenges facing financial services firms. This survey was conducted during a webinar hosted by Quantifi on ‘Navigating the IBOR Transition’. Over 350+ individuals from across the financial services industry registered for the webinar and were invited to take part in the survey.

FEATURED VIDEO

Calibrating the SOFR Term Structure 

The current global reform of interest rate benchmarks is radically changing the status quo, with important consequences for pricing and risk management of financial instruments. Dmitry Pugachevsky, Director – Research, covers SOFR futures, calibrating SOFR curves, lookbacks and the challenges for XVA simulations.

insights

Navigate major trends & developments shaping the industry

Videos

Navigating the IBOR Transition

The IBOR reform represents one of the biggest challenges facing financial services firms. Successful management will require significant change and strategic risk management. Preparing for the transition will require firms to establish a strategy to assess the impact and navigate transition risks. Is your firm ready?

Blog

Preparing for the IBOR Transition: Technology and Models

The IBOR transition impacts almost every part of the financial services industry including banking, capital markets, insurance and asset management. The imminent retirement of IBOR has forced financial institutions to conduct an end-to-end inventory of IBOR exposure. This should cover the full range of processes, models and systems, including pricing, valuation, risk management and booking. […]

Blog

The Challenges and Risks of the IBOR Transition

Interbank Offered Rates (IBORs), including the London Interbank Offered Rate (LIBOR), serve as widely accepted benchmark interest rates, and the forthcoming transition is one of the most significant changes for the financial services industry. The unparalleled scale of this industry-wide transition presents considerable challenges, including potential financial, legal, operational, conduct and reputation risks. This blog […]

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