Ad
related to: How does Refinitiv calculate RFR?LSEG Equips The Financial Community With Advanced Technology, Data & Expertise. Stay Up To Speed With Our Latest News & Insights. Refinitiv Is Now Named LSEG.
- Workspace for Wealth
Tailored for Wealth Advisors
Simplify Your Workflow
- LSEG Workspace
Unmatched financial data, news
& content. Request details today.
- Datastream
Identify Trends, Test Hypotheses
and Develop Viewpoints and Research
- Explore Key Resources
Review factsheet, methodology
and other benchmark resources.
- Quantitative Analytics
Gain Access to Content That's Ready
to Use for Quantitative Analysis
- Workspace for Analysts
Stay on Top of Earnings Season &
Efficiently Update Financial Models
- Workspace for Wealth
Search results
- Refinitiv has built a Compounding Calculator that helps banks in computing backward-looking RFRs and projects them to forward-looking interest rates. With this they also get a Valuation tool that converts interest rate and cross currency swaps to RFR exposures from IBOR exposures, considering ISDA fall back rates.
solutions.refinitiv.com/RFR
People also ask
How does Refinitiv calculate RFR?
How does Refinitiv work?
What does RFR stand for?
What are alternative risk-free rates (rfrs)?
- Managing A Challenging Change
- Rethinking Risk-Free Rate Calculations
- Advancing with RFRS
- Delivering Risk-Free Rate Analytics
- Reducing Operational Risk
The move away from LIBOR to the RFRs is being driven by a desire for increased transparency, but this has meant that there are structural changes to the way the new RFRs operate. Firms have long recognised that the changeover from LIBOR to the RFRs will not be a simple process, particularly when it comes to performing the new analytics that will be...
Refinitiv Instrument Pricing Analytics have developed best-practice analytics to support each phase of the LIBOR transition for financial services firms: 1. Calculating proceeds: this includes calculating cash flows and the accrual of cash flows. A realised rate calculator and a calculator that integrates the recommended formula in floating rate no...
Refinitiv Instrument Pricing Analytics provide much needed analytics for each stage of the LIBOR transition for firms – from transitioning existing contracts to the new RFRs, to issuing new RFR-linked securities, calculating zero curves, and eventually more sophisticated financial instruments such as interest rate swaps and cross currency swaps. Be...
Through the APIs, firms are able to plug these analytics directly into their workflow in their technology solutions. This automation reduces cost and complexity, as well as the potential for the kind of calculation errors that can happen if done manually – decreasing potential levels of operational risk associated with the LIBOR transition programm...
In summary, although the LIBOR transition may be a challenging process for financial firms, RFR calculations don’t have to be. By embracing RFR analytics in the cloud, delivered through APIs into day-to-day workflow, firms can empower the front-, middle- and back-office to perform these calculations with confidence. Refinitiv Instrument Pricing Ana...
Refinitiv has built a Compounding Calculator that helps banks in computing backward-looking RFRs and projects them to forward-looking interest rates – which can then be integrated into their banking and valuations systems using an API
Oct 5, 2020 · So, how can the Refinitiv Data Platform help you migrate to RFR? The Data Platform offers a Financial Contracts API which we can use to create an Interest Rate Swap instrument.
Oct 19, 2023 · Refinitiv calculates CDOR by using submitted rates from a panel of contributor banks that are active in the Bankers Acceptance (BA) market. Each contributor bank’s submission represents the rate at which they are contractually willing to lend funds to corporate borrowers with existing BA facilities for set terms.
Jun 17, 2024 · The so-called "real" risk-free rate can be calculated by subtracting the current inflation rate from the yield of the Treasury bond matching your investment...
Nov 17, 2021 · On July 29, 2021, the Alternative Reference Rates Committee (ARRC) formally recommended the forward-looking term rates based on SOFR published by the CME Group. CME currently publishes Term SOFR for 1M, 3M, 6M, and 12M (Bloomberg tickers SR1M, SR3M, SR6M, SR1Y and Refinitiv tickers .SR1M, .SR3M, .SR6M, .SR1Y [although for some reason I see the ...
Ad
related to: How does Refinitiv calculate RFR?LSEG Equips The Financial Community With Advanced Technology, Data & Expertise. Stay Up To Speed With Our Latest News & Insights. Refinitiv Is Now Named LSEG.
