Libor Transition

Libor will end in 2021. Shift to new benchmark rates with confidence.

Keep up with market evolution 24/7

Transitioning to new benchmark rates is easy. FINCAD covers every ARR and RFR such as SOFR, SONIA, €STR, TONAR, SARON, including any additional rates that crop up in the future.

And with that level of flexibility, you can test multiple scenarios for any instrument, such as bonds and loans, all at the same time, at any time, without waiting for system upgrades or onerous customization.

Future-Proof your investment decisions

LIBOR FALLBACK OPTIONS

Compare the effect of the Libor replacement with the original Libor curve, as well as the underlying alternative rate curve compounded at the tenor of the selected index as shown on the large monitor. You can also see the alternative rate curve corresponding to the selected index as shown on the laptop.

SMART ARR & RFR COVERAGE CALCULATION 

 

libor_lookback

 

pre-post_libor

 

Quickly see the valuation impact of replacing Libor on the implied future cashflows of the interest rate portfolio. The cashflow changes are the result of forward rate changes, due to the replacement of Libor with an alternative benchmark rate which includes daily compounding/averaging and credit spread adjustment.

Instrument and curve coverage for the end of Libor

 

NEW BENCHMARK TRADES

  • SOFR and SONIA futures
  • FedFunds/SOFR basis swaps
  • Libor/SOFR basis swaps

 

NEW BENCHMARK CURVES

  • SOFR
  • SONIA
  • €STR (EONIA)
  • SARON
  • TONAR
  • RBA Cash

With FINCAD it's easy to define instruments that require the new benchmark rates. You can quickly prepare for the Libor transition with FINCAD's transparent pricing and intuitive valuation under the new curves. Our analytics offer the most flexible, future-proof, and scalable way to get a clear view of your portfolio throughout the Libor transition and beyond.

 

 

Always Ahead

Navigate the end of Libor with confidence and precision

Flexible

Model curves as market instruments are traded and become liquid.

Transparent

View pricing and risk with and without Libor transition assumptions.

Seamless

Calculate consistent valuations according to your transition assumptions.

Adaptable

Quickly respond to Libor challenges throughout the transition and beyond.

Explore Resources

Video
The End of Libor: Video
The End of Libor: Video
Datasheet
Navigate the End of Libor
Navigate the End of Libor
Whitepaper
Risk.net Special Report: Beyond Libor
Risk.net Special Report: Beyond Libor