Report
![Finastra The Use and Benefits of an Index for RFRs in Cash ProductsThe Use and Benefits of an Index]()
The Use and Benefits of an Index for RFRs in Cash Products
Why do negative accruals occur?While the drivers of the LIBOR transition are 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.
Report Snap Shot
- “ A simple but important task for any financial institution is the calculation of interest accruals. As shown by the EBRD in this paper, having an index can really make the transition to the post LIBOR environment easy.” Pedro Porfirio Global Head of Treasury & Capital Markets, Finastra
