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Understanding Risk Free Rates (RFRs) by Irene Bedmar Gómez is a document available to read on EtoBox.

RFRs are based on actual transactions and incorporate little to no credit risk, while LIBOR embeds interbank credit spreads and is based more on expert judgement. To equate LIBOR and RFRs, a credit adjustment spread is added to the RFR. There are also differences in term structure, rate fixing, and settlement between LIBOR and RFRs. Various interest accrual conventions aim to provide economic certainty when using backward-looking RFRs, including payment in arrears, lockouts, and lookbacks. Compound interest

Author

Irene Bedmar Gómez

Language

EN