Refinitiv launches Risk Free Rates (RFR) and Valuation platform
As IBORs are being replaced by RFRs, there’s an immediate necessity for market participants to understand the impact on loans payments and receivables; implement derivatives valuations, and perform derivatives valuations quoting legacy IBOR’s against the new benchmarks. It isn't a simple task, and banks are looking for a cost-effective solution that will help them navigate the complex transition from IBOR to RFR.
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.
Why choose the RFR and Valuation Platform?
- Customized calculations
- Clients can integrate daily rates into their core banking system.
- Automated and secured delivery of calculations
- The underlying currency swap prices are derived from the market-leading execution venue for EUR, USD, and GBP interest rate derivatives.
- Currency exchange pricing underpins SOFR data sets, contributing to approx. 70% of the ICE Swap Rate benchmark (formerly ISDAFIX).
Snapshot of the dashboard
Example of an output to be loaded into core banking system