LIBOR: The use and benefits of an index for RFRs in cash products

While the drivers of the LIBOR transition are well known, less clearly understood are the issues caused by the changes in interest calculation when using risk-free rates (RFRs). In the case of LIBOR, rates are established at the start of an interest period. However, compounded overnight RFRs typically use a backward-looking interest calculation at the end of an interest period. 

Download our whitepaper  LIBOR: The use and benefits of an index for RFRs in cash products. Our paper discusses shifting methodologies, reveals a way forward, and exemplifies how there are significant advantages to using a daily compounded RFR index in cash products.

Download today.