News & Insights

TPG Enhances SOFR Rate Engine to Transition From LIBOR to SOFR

TPG Software, Inc., released an enhanced version of its SOFR Rate Engine, that now includes custom formulas to handle SOFR-based investment products. This was done to support you as you transition from LIBOR to SOFR in 2021. SOFR will require a solution to handle the new complexities in floating rate calculations for your investments. 

The transition from LIBOR to SOFR is the process of replacing the London Interbank Offered Rate (LIBOR) with the Secured Overnight Financing Rate (SOFR) as the benchmark interest rate used in financial derivatives and other financial contracts.

The new Rate Engine seamlessly integrates into TPG’s Workstation accounting platform, allowing you to configure floating rate security masters and to select custom SOFR-based calculation options that will provide you with accounting accuracy. SOFR Rate Engine is engineered to handle SOFR rate calculations by using averaging, weighted averaging, and compounding. In Advance and In Arrears conventions are built into each formula, simplifying the formula selection process. The SOFR Rate Engine is integrated within TPG’s comprehensive accounting platform and fully supports rate plus spread, rate resets, lookback and lock in periods, payment delays, and the new holiday calendars required by SOFR products.

By using the SOFR Rate Engine you can validate coupon rates over various periods, purchase and sold interest for trade entry, and coupon payment amounts, thereby eliminating processes that require time and complex spreadsheet calculations. TPG’s SOFR Rate Engine produces accurate SOFR results with just a few clicks.