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LIBOR Express

Simulating derivatives and cash instruments against all RFRs/ARRs at trade and portfolio level.

LIBOR Express is an end-to-end trade/portfolio/loan valuation and LIBOR/RFR simulation platform that allows all RFR/ARR simulation for derivatives and cash instruments at the trade and portfolio level. It simulates RFR/ROC impacts over a trade’s life cycle. LIBOR Express is a cloud-based, out-of-the-box solution that does not require banks’ IT resources to integrate.

LIBOR Express allows RFR/ARR simulation for derivatives and cash instruments at trade and portfolio level. It is an end-to-end trade/portfolio/loan valuation and LIBOR/RFR simulation platform. LIBOR Express covers a broad range of derivatives and swaps, simulating RFR/ROC during the expected course of each trade’s life cycle.

LIBOR Express is a cloud-based, out-of-the-box solution that does not require banks’ IT resources to integrate. Finastra Summit’s comprehensive quantitative analytics and curve creation framework are natively-integrated with LIBOR Express.

LIBOR Express functionalities include:

  • RFR computation and impact quantification for most fixed income cash instruments and loans
  • Managing the LIBOR transition by calculating cashflows, MTM neutral spreads, and other simulation features
  • Analysis of RFR impact across derivative instruments and interest rate swaps
  • Simulation of hypothetical, historical, and stress scenarios for proposed and existing RFRs and spreads
  • Assistance with the development of lending and derivatives pricing processes, along with their associated constraints

Reuters market data is implemented within a LIBOR Express subscription, which also includes institution-specific valuation frameworks and front-to-back trading/lending platforms. The solution features interactive reports supplied as standard but user-configurable and intuitive three-step onboarding for users and portfolios. The LIBOR Express valuation framework has been used by numerous banks and has been rigorously tested. A secure and robust intra-institution user access framework is part of LIBOR Express.

LIBOR Express provides accelerated time to market capabilities as evidenced below:

Portfolio Simulation to capture RFR Impact

  • Generate MTM with LIBOR/ OIS/ RFR discounting for LIBOR and RFR Simulation Trade
  • Ability to transform LIBOR trades into RFR trades
  • Analyze MTM/Spread impact of simulation trades
  • Measure the future impact of transition on P&L and Risk

Fall-back Simulation that complies with ISDA methodology

  • Fall-back simulation as of today – Spread, Trade Conversion
  • Scenario analysis of ISDA spread impact – look back period and mean/median
  • ISDA spread calibration based on Summit reset or pre-defined data set
  • Comparison of MTM impact using single ISDA Spread or user-defined Spread
  • Point estimate of MTM impact across entire portfolios of multiple Trade Types

Counterparty Negotiation Support for Transition

  • Ability to generate MTM neutral spread at Counterparty/Tenor/Index and individual trade levels/li>

LIBOR Express is a cost-effective, secure, and scalable managed service. The solution is SaaS-based and hosted on Microsoft Azure. It is secured by a two-step user authentication multi-level access security.

LIBOR Express comprises configurable interactive reports meant for risk managers, traders, middle office, financial control, audit, operations, compliance professionals, and model validation. Fallback impact valuation, negotiation support, and discounting impact valuation are the core areas for LIBOR Express.