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HDFC Bank Gears Up for Transition to Risk-Free Rates with Bloomberg’s Multi-Asset Risk System

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India’s HDFC Bank has adopted Bloomberg’s Multi-Asset Risk System (MARS) as part of its preparations for the transition to risk-free rates (RFRs). HDFC Bank will integrate the Bloomberg MARS Front Office and MARS Valuations solutions to calculate interest using the new ‘One Day effective rate’ and pass on entries into its core banking system, enabling transition to the new RFR regime as the December 2021 deadline for the discontinuation of LIBOR approaches. The implementation will allow HDFC Bank to address operational challenges with tools that are adapted to the new alternative rates, taking into account local jurisdictions, overnight rates, and a combination of holiday calendars and new conventions of lookback and observation shifts.

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