It is known that between 2021 and 2022, LIBOR rates will cease to exist. Therefore bond issuers started to link their newly issued floaters to O/N rates based on actual trades such as SOFR for USD or €STR for EUR.

Accrued interest is calculated either as compound (most often) or simple interest for some period based on lagged daily values of O/N rates. So far it sounds simply, however, there are a lot of convention for calculation of compound interest. It is possible to calculate with lagged O/N rate, shifted coupon period etc.

My question: is there any comprehensive overview of conventions for accrued interest calculation for floaters linked to O/N rates?

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    $\begingroup$ You might want to have a look at documents from the risk free rate working groups in the US, EU and UK. Unfortunately, I do not have the documents at hand; but I know that the UK group is discussing these topics at some length. Do let me know if you have trouble finding the documentation. $\endgroup$ Mar 26 '20 at 19:29
  • $\begingroup$ @Kermittfrog: Thanks, I went through documentation of O/N rates on regulators website (Fed...). However, I am looking for some comprehensive manual (documentation). $\endgroup$ Apr 4 '20 at 18:25
  • $\begingroup$ I'm also interested in recommendations regarding accrued interest calculation for derivatives or instruments with fixing tied to O/N rates (lookback fixing). Consider for example the case of calculating the bought/sold interest on a FRN mid-period. $\endgroup$ May 22 '20 at 7:17
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    $\begingroup$ AFAIK, to date not a single convention has been established yet. That said, bond markets are not my field of expertise and likely someone here on QSE knows more about this; so I'd be also interested to see if someone can answer this question. I myself found this doc from the ARRC pretty helpful newyorkfed.org/medialibrary/Microsites/arrc/files/2021/… (and in fact it's focussed on FRNs/cash products), so it might be interesting for you. $\endgroup$
    – KevinT
    Apr 20 '21 at 6:33

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