As the pressure mounts for the timely transition from IBOR reference rates to the Risk Free Rates (RFR) in key currencies, Finmechanics has designed a solution roadmap with minimal disruption to the existing system landscape and IT architecture. The solution leverages FM Converge* cloud- and easy integration capabilities, cutting time and project risks dramatically.
Quantitative Impact Assessments
·Detailed exposure aggregated by counterparty, asset class, duration class, etc.
·Mark-to-Market Impact Assessments
·Solving for equivalent spread
Extended Assessment (Scenario based)
·Sensitivity and risk under fall-back rate calculation scenarios
·SIMM margins and collateral value
·XVA & Regulatory Capital
·Limits and CCR
Migration of legacy trades to post-2021
*FM Converge is a next generation position and risk management system, that can be deployed on the cloud and rapidly integrated to the legacy deal entry and core banking systems