Libor Transition

Libor is ending. Shift to new benchmark rates with confidence.

Keep up with market evolution 24/7

Navigating the Libor transition 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.

With the guidance around Libor market practices continuing to evolve, the need to be able to quickly adapt has never been more important. With FINCAD, you have the flexibility to assess the impact of changes as they happen without waiting for system upgrades or onerous customization

Future-Proof your investment decisions

SMART ARR & RFR COVERAGE CALCULATION

Along with swaps, swaptions and caps/floors, FINCAD covers market conventions and rate definitions associated with ARR FRNs (floating rate notes), empowering the practitioner to independently validate and carry out relative value analysis in a rapidly evolving landscape.

EVALUATE IMPACT OF LIBOR FALLBACK CURVES

Evaluate the impact to implied future cashflows before adopting the Libor Fallback curve or when redefining trades as referencing the Libor replacement with spread adjustment.

LIBOR FALLBACK OPTIONS

Quickly inspect the implied forward rate profile of the original Libor curve, the Libor replacement and the Libor fallback curve.

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

FINCAD makes it easy to define instruments that require new benchmark rates. You can quickly prepare for the Libor transition with FINCAD's transparent pricing and intuitive valuation under the new curves. We can deliver our analytics software solutions any way you choose so that you get the most flexible, future-proof, and scalable analytics to manage your portfolio throughout the Libor transition and beyond.