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Is my understanding of the timeline of fixings for EUR and USD swaps correct? This is my current understanding:

EUR: Vanilla swaps have been based on LIBOR, and OIS swaps have been based on EONIA. However, since 2019, both of these have been replaced by swaps based on ESTR.

USD: Vanilla swaps have been based on LIBOR, and OIS swaps have been based on the FF rate. However, since 2019, the former has been replaced by swaps based on SOFR, however OIS swaps based on the FF rate still exist concurrently.

Furthermore, what is the equivalent timeline for the discounting curves used for these products? Is there a convention here, and has that convention changed in recent years (or at some other point in the past?) Do we always use the same rate as the fixing (e.g. LIBOR before the transition and the RFR rate after the transition?).

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    $\begingroup$ I think EURIBOR still lives :) $\endgroup$
    – Dimitri Vulis
    Commented May 6 at 22:54

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  • EURIBOR is still very liquid and not scheduled to be discontinued.

  • EONIA is gone though and the RFR is €STR, with a spread between €STR and EONIAb of 0.085% (8.5 basis points), see ECB.

  • LIBOR is gone and FF and SOFR are both used.

The market is using SOFR discounting for all sorts of quotations already (not FF). For example, swaption vol is quoted with SOFR discounting, CME and LCH moved to SOFR PAI and discounting on Oct. 16 2020 on new AND legacy swaps.

For EUR cleared, major CCPs did this since July 27 2020.

Dual curve stripping (e.g. forward LIBOR discounted with FF) existed way before the RFR reform. FF OIS still exists, but even this curve is discounted by SOFR and applies "vanilla" dual curve stripping (in terms of Bloomberg jargon, S42 is discounted by SOFR S490). However, if you roll back the valuation date pre 2020-10-17 then it should automatically cut back to S42.

Some.more details can be found

  • here with a link to ARRC's best practices, and alternatives like ICE's Bank Yield Index and Bloomberg's BSBY and
  • there with a link explaining dual curve stripping

Edit BSBY will be discontinued on November 15,2024 after a damning Iosco verdict, see Risk.net.

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