Case Studies

Institution

This is the largest global development institution focused on promoting, structuring, and funding private sector investments in developing countries.

Business Goals

The institution had retained GreenPoint to provide a proposal to enable them to trade and process the LIBOR replacement risk-free rates along with SSO enablement and Summit Insight. This required an upgrade to their Summit instance from V6.1 to V6.2, and Summit Insight installation, to conduct and view simulations.

GreenPoint Project Scoping

• Requirement analysis for Treasury Management and identification of required customizations.
• Study of the existing curve-construction methodologies and providing a solution proposal for RFR curves across multiple currencies.
• Impact study of the institution-specific enhancements and compilation against Summit 6.2.
• Support through multiple rounds of SIT and UAT before Go Live.

GreenPoint Undertaking

• Implementation of Core Summit module version 6.2x and compilation of enhancements. Implementation of latest version of Summit up to final regressions.
• Implementation of curve-construction for RFR-related indices using new methodologies proposed by US Fed.
• Creation of a migration plan from existing Legacy Summit version to the latest version of Summit.
• Implementation of RFR/OIS curves by setting up the necessary static, and performance of impact analysis on trade/portfolio valuation and accounting, and provide testing strategy for RFR implementation.

Project Outcomes

• Transitioned to the latest version of Summit 6.2x, which enables the institution to adopt RFR methodologies and system readiness for LIBOR transition.
• Completed RFR curve-construction using new methodologies.
• Integrated with new market data sources to subscribe to new SOFR rates.
• Technology upgrade to Linux and Oracle supported version, which enables the institution to move to the latest versions and market practices.
• Assisted in Test Automation with Finastra product team.

Institution

This bank is a leading provider of development financing for Latin America and the Caribbean through financial and technical support for countries working to reduce poverty and inequality. Its mission is to help improve health and education, and advance infrastructure.

Business Goals

1. The client had asked GreenPoint to provide a proposal to enable the ability to trade and process the LIBOR replacement risk-free rates along with SSO enablement and Summit Insight installation to see the simulation reports in a visualization mode.
2. The client also intended to move the valuation engine from Numerix to Summit for RFR-related indices.

GreenPoint Project Scoping

• Study of client requirements for Treasury Management and identification of curves required to be reconstructed.
• Study of existing curve-construction methodologies and a solution for RFR-related curves.
• Study the impact of LIBOR transition using the GreenPoint-developed Libor Replacement Simulation Tool.
• Support the client through multiple rounds of SIT and UAT before Go Live.

GreenPoint Undertaking

• Implementation of curve-construction for RFR-related indices using the new methodologies proposed by US Fed.
• Creation of a cutover plan for releasing the new curves constructed for LIBOR replacement.
• Implementation of Libor Replace Simulation Tool and connect with Summit Insight with 1Bps impact report and simulation report.
• Valuation Engine Change from Numerix to Summit.

Project Outcomes

• Migration to the latest version of Summit 6.2x, which enables the bank to adopt RFR methodologies and a system that is ready for LIBOR transition.
• Completing RFR curve-construction using new methodologies.
• Integrated with new market data sources to subscribe to the new SOFR rates.
• Technology upgrade for Summit Insight version to 2.6 with Summit SSO.
• New dashboard report for the Libor Replacement Simulation Tool.
• New valuation engine, valuations calibrated and verified.

Institution

This institution is one of the largest life insurance companies in Canada with a 175-year history, $220 billion in assets and an A+ A.M. financial score.

Business Goals

The client had retained GreenPoint to provide a proposal to enable them to trade and process the LIBOR replacement risk-free rates. This would not require an upgrade to their existing 6.0x environment.

GreenPoint Project Scoping

• Implementation of curve-construction for RFR-related indices using the new methodologies proposed by US Fed.
• Creation of a cutover plan for releasing the new curves constructed for LIBOR replacement.
• Matching zero rates and reconciliation against the third-party valuation system within pre-defined thresholds.

GreenPoint Undertaking

• Implemention of curve-construction for RFR-related indices using new methodologies proposed by US Fed.
• Creation of a cutover plan for releasing the new curves constructed for LIBOR replacement.
• Matched zero rates and reconciled against the third-party valuation system within pre-defined thresholds.

Project Outcomes

• Migration to latest version of Summit 6.2x, enabling the bank to adopt RFR methodologies and system enhancements for LIBOR transition.
• Designed and executed RFR curve-construction with new methodologies.
• Integrated with new market data sources to subscribe to new SOFR rates.
• Adopt to new discounting configuration as per the market standards.

Institution

A global universal bank with $327 billion in assets and presence in 160 countries. It has compressive corporate and customer banking footprint including capital markets, lending, credit card, and retail banking.

Business Goals

The client had requested to provide a proposal to enable them to trade and process the LIBOR replacement risk-free rates without upgrading Summit in 6.1.7.

GreenPoint Project Scoping

• Study of client requirements for Observation Period shift methodologies to enable RFR using the existing Summit version.
• Study of existing curve-construction methodologies and solution for RFR-related curves.
• Support client through multiple rounds of SIT and UAT before Go Live.

GreenPoint Undertaking

• Implementation of curve-construction for RFR-related indices using the new methodologies proposed by US Fed.
• Develop a custom application to provide an interim solution without upgrading Summit.
• Creation of a cutover plan for releasing the new curves constructed for LIBOR replacement.
• Creation of new formula and index modifier to achieve the functionality for the asset types requested by client.

Project Outcomes

• Adopting RFR methodologies and system that is ready for LIBOR transition without upgrading Summit. The upgrade is not possible due to time limitations and conflict with the other project.
• Completing RFR curve-construction using new methodologies.
• Integrated with new market data sources to subscribe to the new SOFR rates.
• Meeting regulatory requirements and mitigating risk not to meet the timeline.

Institution

With about $4 trillion under its management, this institution is one of the world's largest asset management companies. It is also the world's largest custodian bank, with close to $43.4 trillion in custody and administration. Besides, it has $314 billion in assets on its balance sheet and is considered a systemically important bank by the Financial Stability Board.

Business Goals

The client had requested GreenPoint to provide a proposal to enable the ability to trade and process the LIBOR replacement risk-free rates. This needs to be implemented for CME, LCH, and MTM indices.

GreenPoint Project Scoping

• Study of client requirements for Treasury Management and identification of curves required to be reconstructed.
• Study of existing curve-construction methodologies and solution for RFR-related curves.
• Support the client through multiple rounds of SIT and UAT before Go Live.
• Implementation of curve construction for RFR-related indices using the new methodologies proposed by US Fed.
• Creation of a cutover plan for releasing the new curves constructed for LIBOR replacement.
• Matching zero rates and reconciliation against the Bloomberg valuation system within pre-defined thresholds.
• Generated MTM/Risk Report with OIS and RFR discounting for swap trades valued with MTM, CME, and LCH.
• Setting up of the related configuration to support LIBOR trade transition.

GreenPoint Undertaking

• Implementation of RFR/OIS curves by setting up the necessary static, and performance of impact analysis on trade/portfolio valuation and accounting and provide testing strategy for the RFR implementation.
• Implementation of curve-construction for RFR-related indices using the new methodologies proposed by US Fed.
• Creation of a migration plan from existing Legacy Summit version to the latest version of Summit.
• Review existing and create new Summit configuration, and propose changes required for RFR implementation.
• Evaluate cross-currency swap by discounting both legs over a single index.
• Matched zero rates and reconciliation against the third-party valuation system within pre-defined thresholds.
• Implementing RFR Transition Tool for bank existing LIBOR position.

Project Outcomes

• Completed RFR curve-construction with new methodologies.
• Traded with RFR curve-construction with new methodologies.
• Integrated with new market data sources to subscribe to new SOFR rates.
• Adopt to the new discounting configuration as per the market standards.