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Replacing LIBOR: Transitioning to Risk-Free Rates

Brexit has effectively sealed the fate of LIBOR. The transition to global risk-free rates promises to be more taxing than most organizations are anticipating

Brian Dunton, Head of Instrument Engineering


LIBOR, the most referenced interest rate benchmark in the world, is due to be phased out starting in 2021. The 2012 LIBOR scandal – in which benchmark rates were manipulated by rogue bankers to benefit their derivatives-trading operations – has resulted in a move toward risk-free rates (RFR). The momentum behind this has only become more acute as financial institutions get their arms around the impact of Brexit.

LIBOR, for the uninitiated, refers to the London inter-bank offered rate and is calculated using appraisals from leading financial institutions in which the banks estimate how much they would be charged to borrow from peer institutions. Risk-free rates, alternatively, are generally calculated as the weighted average rate from actual overnight lending between banks. Given the potential for manipulation, inter-bank offered rates are expected to gradually be replaced by global RFRs. For historical context, the LIBOR benchmark has long been used to calculate financing on swaps, bonds, mortgage-backed securities, bank loans and a host of other financial instruments. The expectation is that deals will start to gravitate toward published risk-free rates. While it sounds seamless, replacing the benchmark with a different index to calculate financing accruals is far more complex than it may appear at first blush.

Consider, for instance, that a vanilla interest rate swap would historically represent a fixed rate versus a floating interest rate hedge based upon the current LIBOR rate. Other economic indicators, such as the yield curve, are also generally factored in at the time that the deal was struck. While one leg would remain fixed throughout the life of the deal, the other would reset at each payment period. Different tenors of LIBOR were published and used to calculate swap financing fees for each period.
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Engage 2015 Coverage: Quest for IBOR Leads to Scottsdale!

In February, the world was introduced to Commodore IBOR – the enterprising adventurer in search of the “Golden” Investment Book of Record. Hopefully he made it to Scottsdale this week, because our afternoon session at Engage 2015 covered not only the key drivers for establishing an IBOR, but also how an IBOR can be leveraged to extend beyond its original deliverables – ie, the ROI that adds that golden shine to investment firms’ IBOR projects.

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Spotlight on Engage – Locking in on IBOR’s Moving Target

Paul McInnis, Director of Product Strategy, Data Management, Eagle Investment Systems


The concept of an Investment Book of Record, or an IBOR, has been around for years, as Eagle has been offering IBOR solutions as part of our Data Management platform for over a decade now. More recently, however, we have witnessed a renewed buzz around the concept, which has created some unwanted side effects. While this added attention has motivated investment firms to explore how an IBOR might apply to their business, the very definition of what an IBOR is has become convoluted. Ironically, this industry buzz has led to more confusion and less understanding around the acute business needs that demand an IBOR solution.
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Defining IBOR at TSAM

Mal Cullen, Head of the Americas and Eagle ACCESS℠


Last week I had the privilege of sitting on a panel discussion at the 2014 TSAM New York conference.

The theme of the panel was the Investment Book of Record (IBOR), a subject I have written about on this blog before. IBOR is one of the hottest topics in the financial industry and something many firms are looking to implement as they recognize the business benefits it can bring. Read More…

Are you ready to support IBOR?

Rob Erman, Managing Director, Head of Global Professional Services, Eagle Investment Systems


There has been a lot of press surrounding IBOR and as my colleague Marc Firenze mentioned in his article in Wall Street and Technology, achieving an accurate and consistent IBOR can prove elusive for some investment management firms. Assuming that they get past the daunting task of defining what IBOR means to them, they need an actionable plan to implement that solution. In our experience, the implementation can be achieved by holding key constituents accountable and monitoring their readiness. Since quality data is the foundation for these types of initiatives, we have developed a data-driven readiness assessment based on six key pillars. Read More…

The Challenges and Solutions for the Production of an IBOR

Mal Cullen, Head of the Americas and Eagle ACCESS℠


IBOR Whitepaper

Earlier this week, I had the privilege of sitting on a panel at a breakfast meeting in New York hosted by Waters Technology to discuss best practices and guidelines for the development of an effective IBOR capability.

IBOR has become an increasingly valuable tool for investment managers in recent years as they face a burgeoning volume of information and the need to meet new financial regulations. However, inflexible portfolio management infrastructures are hindering many firms’ abilities to adapt to these organizational and market changes with the effective and efficient production of an IBOR. Read More…

The Investment Book of Record (IBOR)

Mal Cullen, Head of the Americas and Eagle ACCESS℠


As the investment management landscape has become more complicated and sophisticated, the need for the front-office to have access to timely and accurate data has become increasingly important. This has led to a resurgence of interest in technology that can produce an Investment Book of Record (IBOR); a set of investment data that is maintained with the primary purpose of supplying timely and accurate data to the front office of an investment manager to support the investment decision process. Read More…

Q&A: Supporting APAC Clients and Expanding the Eagle Business

David Ingleson, Eagle’s new Head of APAC, shares his perspectives on Eagle’s development, the market trends he’s seeing and the opportunities to extend Eagle’s presence in the region

Q: Could you please tell us about your background at Eagle and how have your previous role as head of service delivery has helped equip you for your role as Head of APAC?
A: I originally started my journey at Eagle 14 years ago in our London office where I was focused on implementations and consulting on the Eagle Accounting solution. I then moved from London to Singapore in July of 2010 for what was supposed to be a one year secondment to work on a specific project, but my family and I fell in love with the city and eight years later, we’re still here.

My background of working on the implementation and service side of the business has given me a great perspective on the challenges that our clients face; be that the business challenges they are looking to address through their technology, the demands placed on them by their own clients or the internal challenges that inevitably surface. However, in APAC in particular, the implementation team also tends to get involved early in the sales process, so I tend to follow a client’s progress right through from sales to onboarding.

There are a number of reasons for that, but clients in Asia tend to focus on the details of implementation, including how long it will take, how it will be phased, who will be involved and how much it will cost from the outset.

If you look at the main change to my role, I’ve now also assumed ultimate responsibility for business development, sales and client support, but with my background it has been a relatively easy transition to make.  Read More…

Sovereign Wealth Funds: Coping with Increased Complexity and Asset Growth

Eagle’s Amit Bharakda examines the reasons why SWFs are putting a greater emphasis on control and transparency when it comes to managing and measuring the performance of their investments.

Amit Bharakda, Regional Head of Business Development, EMEA


The investment landscape for the world’s sovereign wealth funds (SWFs) has changed dramatically in recent years, as assets under management (AUM) have continued to grow steadily. As assets have grown, many have looked to diversify into new asset classes and build their own investment capabilities in-house. At the same time, stakeholder demands have changed, with greater scrutiny on the performance of these funds by governments and civil servants.

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