Bloomberg announced today that HDFC Bank, India’s largest private sector bank, has adopted Bloomberg’s Multi-Asset Risk System (MARS) in its technology stack, as it prepares for the transition to risk-free rates (RFR).
With the December 2021 deadline of LIBOR cessation approaching for banks, HDFC Bank will adopt and integrate Bloomberg MARS Front Office and MARS Valuations solutions with their core banking system, to efficiently implement and transition into the new RFR regime. HDFC will tap on Bloomberg solutions to calculate interest using the new “1 Day effective rate” and pass on entries into their Core Banking System.
Bloomberg’s Pricing Library and Market data are fully geared up for the new RFR curves and analytics. The MARS and MARS API (Application Programming Interface) tools provide all the necessary valuation and risk numbers for both cash and derivatives securities.
Ashish Parthasarthy, Treasurer, HDFC Bank said: “Moving to a new reference rate system is extremely complex and resource intensive, and requires us to take into account local jurisdictions, overnight rates, combination of holiday calendars and new conventions of lookback and observation shifts. Bloomberg’s Multi-Asset Risk System enables us to overcome operational challenges with easy-to-use tools that are adapted to the new alternative rates.”
“The end of LIBOR brings many operational challenges for firms with the need to supplement or even replace risk management systems to support new rates and conventions. We are pleased to support HDFC in structuring and managing post-LIBOR risk, with consistent calculations across their entire portfolio with various asset classes,” added Bing Li, Head of APAC, Bloomberg.
“There are important fundamental differences between IBORs and RFRs, and so it is imperative for banks and other market participants to have updated systems and infrastructure, as the transition away from LIBOR takes place. Bloomberg’s comprehensive set of solutions to support this transition enables our clients to efficiently meet complex challenges in terms of pricing and risk of their portfolios,” said Jose Ribas, Global head of Derivatives, Risk and Pricing, Bloomberg.
Bloomberg MARS, which is delivered on the Bloomberg Terminal and via APIs, provides risk analytics for cash and derivatives securities, from vanilla to complex and cash structured products. MARS Front Office delivers a comprehensive suite of on-demand risk analytics, advanced scenario and stress test capabilities and term structure of risk as a streamlined workflow solution. MARS Valuations provides credible and complete end-of-day market valuations for enterprise usage and reporting.
Bloomberg delivers a comprehensive suite of solutions to support IBOR transition, including scenario analysis to determine the impact of the transition on portfolios. On the Bloomberg Terminal, clients can also access fallback datasets to identify IBOR-linked securities in their portfolios and negotiate trades using Risk Free Rates (RFRs). In addition, Bloomberg publishes term and spread adjustments for the fallbacks that ISDA intends to implement for certain IBORs.