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.