Questions tagged [libor-cessation]

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SOFR Transition for Future Flow Transactions [duplicate]

I’m looking for some papers/articles for the transition from LIBOR to SOFR for future flow transactions/securitizations (such as Diversified Payment Rights). Would be happy if you could share some as ...
StructuredQuant's user avatar
1 vote
1 answer
495 views

STIR Topics: XCCY pricing and trilemma between SOFR, FF & FRA

Question on STIR. Suppose we sell a 3m JPY swap with spot start date, and we are able to back out the 3m implied JPY forward points (hence swap points), using 3m JPY OIS (3m TONA) and 3m USD OIS (3m ...
fauxpas's user avatar
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4 votes
0 answers
281 views

Payment Delay Convexity Adjustment Formula for RFR Rates

For Libor we have the following Convexity adjustment formula for payment delay (under normal model) $$CA = P(0,T_e,T_p)\rho\sigma_e^L\sigma_p^L\Delta_e^p(T_s-t_0)$$ where $T_s$ is the period start ...
user62031's user avatar
4 votes
1 answer
2k views

Term SOFR rate formula

The following website gives the specifications of the CME Term SOFR reference rates: CME Term SOFR. Point 1 in the link above specifies that the tenors that are currently supported are 1m, 3m, 6m, and ...
Jan Stuller's user avatar
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2 votes
0 answers
658 views

Replacement for LIBOR Market Model (LMM)?

With the transition from LIBOR to SOFR, will the LIBOR Market Model be replaced by a new model? Perhaps this has already happened. If yes, what is this new model? If not, will the LIBOR Market ...
equanimity's user avatar
4 votes
1 answer
307 views

USD swaps trading post LIBOR: the current state of the world (January 2022)

The USD interest rate swaps market has been transitioning from LIBOR to SOFR for some time. In the "old days" when swaps reset against LIBOR underlyings, there were a few "market ...
equanimity's user avatar
0 votes
0 answers
532 views

Pricing an OIS referencing SONIA with fixing lag

I'm trying to price an Overnight Index Swap referencing SONIA. The swap will have a 5 day fixing lag (i.e using compounded SONIA over the current interest period but with the last rate set 5 days ...
AB123's user avatar
  • 31
11 votes
2 answers
500 views

LIBOR replacement in client products and prospective pricing

I am asking whether the industry, or single banks, have made up their minds already on how to replace the 'missing' interbank risk compensation component in their variable rate credit products when ...
Kermittfrog's user avatar
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2 votes
0 answers
90 views

Risk Free Rates and Libor

With the demise of Libor, and the arrival of the new risk free rates (RFRs), what are the changes that are occurring with regards to : Valuation of existing derivatives Creation of new derivatives ...
Dom's user avatar
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2 votes
1 answer
752 views

Compounding arrear SOFR Forward rate/curve

As per ISDA protocol and supplements, they stated that the fallback rate to be used on legacy derivative contracts is the compounding in arrears SOFR rate (based on a 2-day backshift) + a fixed spread ...
Student's user avatar
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3 votes
1 answer
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Is there a difference between JPY TONA and JPY TONAR?

Wikipedia defines TONAR as "Tokyo Overnight Average Rate". The official Bank of Jappan website mentions TONA, rather than TONAR. I suspect the two, TONAR and TONA, are in fact two terms ...
Jan Stuller's user avatar
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0 votes
1 answer
307 views

Understanding Spread, SOFR - US Treasury [duplicate]

I am reading about USD LIBOR transition to SOFR (Secured Overnight Financing Rate). Here, I was reading about key differencies between both rates. I would like to bettter understand relationship ...
Lohengrin's user avatar
2 votes
1 answer
234 views

Which date SONIA rate to apply for today's date in an OIS swap

We are looking at trading a sterling OIS swap (OTC) and I can't find the specifics of the conventions anywhere. People tell me that because Sonia is an overnight rate, you use the preceding rate. So ...
pineapple's user avatar
4 votes
2 answers
420 views

Uncollateralised trades in Libor transition

Consider an OTC derivative traded with no CSA agreement, i.e. the trade is uncollateralised. My understanding is that a Libor swap curve is used in this case to discount the cashflows for this ...
BrownianBread's user avatar
4 votes
1 answer
404 views

Current liquidity of USD OIS-SOFR Swaps

We have now moved to discounting using OIS-SOFR swaps on cleared products and SOFR products in general have picked up in liquidity since last time this question was asked. I'd therefore like to ...
Jan Stuller's user avatar
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2 votes
1 answer
2k views

Libor transition: Building SOFR discount curve

As I understand that after 2023 the Libor will be discontinued and OI rates like SOFR will ...
Daniel's user avatar
  • 357
3 votes
0 answers
368 views

Implementation of solvers for curve construction

I'd be really interested to hear people's experiences of implementing global solvers for curve construction, especially with regard to how robust the approach is in practice, numerical performance, ...
Marco's user avatar
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3 votes
1 answer
251 views

Compare equity option volatility under SOFR vs LIBOR

We know that after the big bang from LIBOR to SOFR, LIBOR will eventually disappear. This brings up one question that I do not have a clue to answer: How to evaluate derivative in a consistent manner ...
user avatar
10 votes
3 answers
982 views

LIBOR Cessation: Construction of Term-RFRs as LIBOR Fallbacks; Forward vs. Backward Looking

This question emerged from comments in this feed: OIS rate to build Term structure. I was wondering how the float leg of an IRS will look like in a post-LIBOR world. Assume the following time-line, ...
KevinT's user avatar
  • 645
3 votes
2 answers
796 views

OIS rate to build Term structure

There are some discussions (e.g. Difference between OIS Rate and Fed Funds Rate) on usage of OIS rate to build the Libor term ...
Daniel's user avatar
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4 votes
2 answers
2k views

Replacing USD OIS discounting based on FED Funds Rate with SOFR discounting

Slightly related to my other question (The exact mechanics of USD OIS Swaps: replacement of USD Libor by SOFR) but nonetheless, this is a separate topic: US banks fund themselves via EFFR (Effective ...
Jan Stuller's user avatar
  • 5,998
5 votes
3 answers
3k views

The exact mechanics of USD OIS Swaps: SOFR, EFFR & Libor cessation

EDIT 2020-11-17: thank you to @user42108 for the link to OpenGamma conventions PDF in his answer below. The PDF is comprehensive and explains the mechanics of USD OIS Swaps based on Effective Federal ...
Jan Stuller's user avatar
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