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.

libor_lookback

 

EVALUATE IMPACT OF LIBOR FALLBACK CURVES

 

pre-post_libor

 

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.

 

 

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

Webinar
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SOFR Transition: Current and Future Implications for Derivatives, Loans and Fixed Income
Video
The End of Libor: Video
The End of Libor: Video
Datasheet
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Navigate the End of Libor