Clarus Financial Technology today announces the release of a suite of IBOR Transition Management tools, available as Apps and APIs, to help firms navigate the upcoming changes as IBORs transition to Risk Free Rates (RFRs).
The transition from IBORs to RFRs is now underway in all major markets, with the Federal Reserve, the European Central Bank, and the Bank of England, setting the timelines in conjunction with working groups of industry participants.
These timelines call for major transition milestones between now and January 2022, including building liquidity in new RFR swaps and futures, changing to SOFR and €STR discounting, adopting IBOR fallback language into existing contracts, specifying the fallback calculation methodology as term RFRs plus a spread and trading out of IBOR into RFR instruments prior to cessation.
Amir Khwaja, CEO Clarus Financial Technology explains, “At Clarus we have closely followed IBOR transition, conducting research, contributing to consultations (ISDA, BOE) and sharing our views publicly in the widely read Clarus Blog. Today we announce the release of a suite of IBOR Transition Management tools to help firms with planning, customer outreach and pre-transition event financial impact analysis.”
“These tools include Apps that can be used to quickly upload a trade or portfolio and run what-if simulations of how valuations, risk, margin and capital metrics could change under scenarios calibrated from historical data of IBORs and RFRs.”
“A set of APIs provide access to the same functionality from Excel or python, allowing firms to incorporate and customise for their own systems infrastructure, as well as create independent, factual and easy to understand material in their customer outreach programs to produce a fair outcome for all parties”.
“IBOR Transition is a disruptive change, one that will consume significant time, resources and budgets. The burden of transition work and resource constraints can result in lost opportunities for simplification in risk management and business processes. Our tools can help customers manage a successful transition and thrive in the new world of RFR trading and risk management.”