CAPITAL MARKETS

Beyond IBOR

Successfully manage the risk, analytics, valuations & operational challenges associated with IBOR reform.

Navigate the IBOR reform

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.

In-depth risk & what-if analysis

Build ESTR & SOFR curves/futures

A multi-curve framework built on modern technology

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.

Farewell LIBOR, Hello SOFR

Analytical Hurdles & Fixed Income Implications

To begin with, constructing a reliable SOFR rate curve stands as a primary challenge, as it serves as the most critical USD curve, utilized for both projection and discounting purposes. Additionally, calculating accurate rates for Floating Rate Notes (FRNs) requires implementing distinct lookback and lockout methodologies. Furthermore, projecting SOFR term rates, which are widely used for loan products, presents another obstacle.

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WEBINAR RECORDING

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.

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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?

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Blog

Preparing for the IBOR Transition: Technology and Models

This process has revealed a number of challenges for financial markets participants, with many having to rethink their operations and technology infrastructure and adopting new technologies to help with the transition.

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