Allowing spread, cash margin, ROA/ROC, and hedging simulations at loan and portfolio level across multiple jurisdictions.
LOANROC computes spread, cash margin, ROA/ROC, and hedging simulations at loan and portfolio levels. This spans origination, projected, and final maturities across a range of regulatory jurisdictions. LOANROC calculates MTM neutral spreads, cashflows, and other simulation features for managing loan portfolios and assists in the creation of derivatives and lending pricing policies.
LOANROC computes spread, cash margin, ROA/ROC, and hedging simulations at loan and portfolio level, spanning origination, projected, and final maturities across a range of regulatory jurisdictions.
Finastra Summit’s powerful quantitative analytics and curve construction framework are natively merged with LOANROC. For multiple LIBOR replacement RFRs, funding, accrual, conventions, and prepayment scenarios, LOANROC runs pre-defined and user-defined scenarios, simulations, and stress tests. For hedging and funding simulations, LOANROC covers a universal set of derivatives and swaps. Finastra’s LOANIQ technology is also natively linked with LOANROC through its FFDC platform.
Summit enables financial institutions to swiftly and efficiently design and price new trades and structured instruments, with real-time processing of a broad and ever-expanding spectrum of financial instruments. Summit’s comprehensive range of connectivity technologies, such as real-time, off-the-shelf interfaces for industry-standard systems, make it simple to combine with existing infrastructure.
LOANROC calculates MTM-neutral spreads, cashflows, and other simulation features for managing loan portfolios across front- and middle-office across all important RFRs and conventions. This is across G-7 and several other currencies.
LOANROC helps in the creation of derivatives and lending pricing policies and related limits. It enables pricing and analysis of risk-adjusted capital impacts for new originations and legacy portfolios. It is an out-of-the-box cloud-based solution and, for integration purposes, does not require banks’ IT resources.
LOANROC use cases are discussed below:
1) Borrower/Counterparty negotiation assistance through transition
- Generation of MTM neutral spread at Counterparty/Index/Tenor and individual trade levels
2) Fall-back Simulation in accordance with ISDA methodology
- ISDA spread calibration based on pre-defined data set or new resets
- Fall-back simulation as of today – Spread, Trade Conversion
- Point estimate of MTM impact across entire portfolios of multiple loan types
- Scenario analysis of ISDA spread impact – look back period and mean/median
- Comparison of MTM impact using single ISDA Spread or user-defined spread
3) LOANROC Advanced attributes
- Transaction structuring for pre-deal analysis
- Basel IRRBB reporting
- Swaps and loan negotiation sensitivity
- Exotic structures
- Commercial and residential mortgage loans
- Global market data
- Time series randomized simulation
- Probabilistic scenario analysis
4) Loan RFR sensitivity and ‘what if’ analysis for the variables listed below:
- Historical stress scenario definition and analysis
- Observation period shift
- Compounding vs. average
- Breakeven analysis
- Legacy and new origination
- Multiple currencies
- Cashflow forecasting
- RFR conventions across the US, UK, and Europe
5) Loan and hedge/funding new origination and current portfolio simulation for capture RFR Impact
- Transformation of LIBOR-based loans into SOFR and alternate RFRs
- Generation of MTM with LIBOR/ OIS/ RFR discounting for LIBOR and RFR Simulation Trades
- Quantification of the future impact of transition on P&L and risk parameters
