Risk Markets Technology Awards 2021: Support for Libor reform
Best support for Libor reform: Murex
The MX.3 Ibor reform package covers all relevant business processes across the front office, operations, risk and finance. Key components include impact analysis, support for transition events, risk-free rate (RFR) analytics, RFR instruments and curves, discounting switch for cleared and non-cleared derivatives, and support for hedge accounting transition. Murex is tracking market transformation as it unfolds in areas such as new instruments, models and fallback protocols, and will continuously enrich its reform package accordingly.
Specific components include mechanisms to smoothly run transition scenarios by bulk or individual trade, or security for over-the-counter (OTC) derivatives, loans and securities, and what-if capabilities to analyse profit-and-loss (P&L) and sensitivity effects pre- and post-transition at trade, counterparty and portfolio levels. A simple procedure enables users to perform discounting and price alignment interest transition in bulk while preserving all past-date calculations.
So far, 55 Murex clients – including LCH and some of the largest swaps dealers – have opted for its interbank offered rate (Ibor) reform solution, enabling the company to learn from them to provide a more complete solution to the Ibor transition challenge.
Judges said:
- “Murex’s solution is well thought out, international and benefits from feedback from clients and market infrastructure.”
- “Murex covers all the issues, and, with clients firmly in mind, it provides the required support for the end-to-end trade cycle, with significant global coverage, expertise and support.”
Alexandre Bon, group co-head of Libor and benchmark reform, Murex, says:
“Supporting our clients’ transition from Ibor rates has been a core Murex focus since 2017. As RFR adoption progresses, financial institutions must manage multiplying product variations and conventions. Further innovations around non-linear RFR derivatives are the next logical step, introducing new modelling challenges. Firms must also analyse value transfers associated with various fallback and transition options for Libor-referencing contracts. These transition mechanisms then require a seamless implementation addressing the technicalities of both standard and bespoke fallback arrangements, front-to-back. Murex will closely work with clients and market actors to deliver innovative solutions in this dynamic context.”
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