Questions tagged [sofr]

The Secured Overnight Financing Rate and the transition from Libor to SOFR.

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8
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3answers
413 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, ...
5
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1answer
1k views

Libor to SOFR transition Yield Curve Construction

With the imminent transition from LIBOR to SOFR next year, what are the data points practitioners are using to the yield curve? Also, since LIBOR implicitly took into account credit risk of the ...
5
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0answers
66 views

SOFR transition impact on numerical efficiency

As the SOFR transition kick in, the libor insturments and derivatives link to SOFR which poses natural challenge for numerical methods such as lattice, monte carlo and finite difference, where people ...
4
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2answers
652 views

Difference between OIS Rate and Risk-Free Rate

What exactly is the difference between the fixed rate of an OIS and the risk-free rate in that currency. For example, in the US the OIS rate vs. risk-free rate SOFR or in the UK the OIS rate vs. the ...
4
votes
3answers
770 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 ...
4
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1answer
1k views

SOFR term structure

Recently I have been going through a lot of documents for SOFR (Secured Overnight Financing Rate) as there is a SOFR implementation in my organization. I am not able to understand how SOFR term ...
4
votes
1answer
147 views

Transition to SOFR Swaps and single curve pricing

As in the US there is a push to replace IBOR based swaps with SOFR rate does that mean that SOFR swap pricing will return to using a single curve framework as LIBOR swaps did pre the financial crisis?
4
votes
2answers
537 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 ...
3
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1answer
158 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 ...
3
votes
0answers
122 views

Libor transition to SOFR - swaps after 2021

Assuming that Libor will fully transition to SOFR by the end of 2021. How are swap rates after 2021 currently priced to reflect this? For example, if I am looking at 5 year US swap rate, doesn't this ...
2
votes
1answer
231 views

Libor transition: Building SOFR discount curve

As I understand that after 2023 the Libor will be discontinued and OI rates like SOFR will ...
2
votes
1answer
178 views

DV01 on LIBOR vs. SOFR basis Swaps

If I had entered into a USD 10mn pay SOFR, receive 3M LIBOR swap with a 5yr maturity, I would have had a positive NPV of about 80k by the beginning of March due to the massive drop in SOFR (1.55 to 0....
2
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1answer
107 views

SOFR Discounting & Price Alignment Transition

CME Group is planning to migrate the discounting to SOFR from Effective Fed Funds Rate (EFFR). Below is the link to their article: https://www.cmegroup.com/education/articles-and-reports/sofr-price-...
2
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1answer
124 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 ...
2
votes
1answer
76 views

Swap Spread Arbitrage & Rates/STIRT Vol

Concerning the classic swap spread arbitrage trade where you (as far as I understand it): Buy a treasury and borrow in GC repo, paying repo rate and funding the haircut in short term unsecured ...
1
vote
1answer
287 views

Face Value of SOFR futures

What is the face value of CME 1M and 3M SOFR future contracts? The face value of CME 3M Eurodollar Futures is 1 million.
1
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2answers
343 views

Theoretical fair value of SOFR 1M and 3M Future contracts?

The fair value of Eurodollar future contracts is calculated using the no arbitrage pricing and the spot curve for LIBOR. How does one compute the theoretical fair value of 1M and 3M SOFR Future ...
1
vote
1answer
178 views

How are SOFR futures contract quotes determined?

I am currently conducting a research on SOFR and have a small question. Suppose I am in June right now and on the CME website I see SOFR Futures quote for the month of September to be 98.6786. I wish ...
1
vote
2answers
103 views

Repricing SOFR Quotes and Non-Zero NPV

I generated/calibrated a SOFR Curve using Quantlib Python and would like to know why when repricing the swaps have non-zero NPVs. Appreciate any assistance. Thank you. Parameters ...
1
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0answers
117 views

SOFR - calculation of the volume-weighted median and percentile

Federal Reserve Bank of New York web page provides some information on the computation of the SOFR rate. Part 1 According to this webpage, the SOFR is calculated as the volume-weighted median: "...
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2answers
93 views

US overnight swaps (OIS)

Can you please confirm if the underlying rate of US overnight indexed swaps is SOFR or Fed funds?
0
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1answer
59 views

How to Validate and Test a Discount curve (i.e. SOFR, LIBOR, ESTR)

Let's say an Interest Rate/Discount Curve (SOFR, ESTR, LIBOR or any other) is bootstrapped using the standard inputs and market quotes for Cash, Futures, Bonds/Swaps. What are the metrics to be looked ...
0
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1answer
95 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 ...
0
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2answers
1k views

Does the USGS Holiday Calendar - used for SOFR Fixings - include Good Friday

Interest rate derivatives indexed on SOFR use USGS as the fixing calendar, which is defined in the FpML specs as: U.S. Government Securities Business Day (as defined in 2006 ISDA Definitions Section ...
0
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1answer
45 views

how to use SOFR as risk free rate in portfolio construction

Good afternoof to everyone. I would like to create a portfolio following a multifactorial approach (I have been writing my master's thesis). As I would like to calculate a series of ratios (e.g. ...
0
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0answers
56 views

Secured Overnight Financing Rate (SOFR) ISIN

Does anybody happen to know the ISIN of the Secured Overnight Financing Rate (SOFR)? I can't find it anywhere on the NY Fed website.
0
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0answers
55 views

How to build the Fed Funds Rate which is a discounting curve? Need this information for modelling the SOFR curve

I want to understand how one could construct the Fed Funds rate. I read somewhere that this could be done using fed funds futures but I wasn't able to understand how Can someone elaborately explain in ...