The rising dominance of Risk-free Rates (RFRs) benchmarks adds complexities in the floating rate products and risk management. RFRs have gained a significant share of new issuances as Libors cease publication and have become the new normal for benchmarks. Overnight RFRs, in particular, necessitate additional computational steps in product life cycles e.g. In-arrears, conventions, credit risks, tenor, averaging etc. Such calculations necessitate tools to navigate new rates landscape e.g. selection of benchmarks, interest accrual calculations, valuations, and risk management.
In our upcoming webinar, Rohit Gajare, Product Head (Kaurtz), will discuss the current state of floating rate benchmark – the age of RFRs, market challenges associated with overnight RFRs, preparations required for the same e.g. building curves, forecasting cash flows, valuation of swaps etc. The webinar will cover the impact of RFR on the ecosystem, and how instrument pricing analytics helps create, compute and distribute the right reference rate.