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Another apology, I won't be able to give a definite answer either but in case of IR swaps I believe the following applies: legacy (i.e. IBOR linked) contracts: the fallback protocol has been launched by ISDA last month and Bloomberg had been selected as fallback spread vendor a while back. In case LIBOR ceases to exist, the fallback rate is the compounded ...


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I believe that this recent paper by Andrei Lyashenko and Fabio Mercurio is going to help you! For me it was completely amazing. It seems that we can just extend the Libor Market Model in a "simple" manner to cope with the new RFR because we can define an extended numeraire $P(t, T)$ for $t > T$ that recovers Ibor-like properties, such as the ...


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Unfortunately, I cannot provide a definite answer. In the major currencies, the risk free rate working groups (US:ARRC, UK:RFRWG and the EU:RFRWG) try to promote new standards for the cash and derivatives markets. Further, there exist recommendations from various industry bodies how to incorporate (lagged) SONIA/SOFR(/ESTR) in new contracts. As an example, ...


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Great question(s)! If I understand correctly, if I am paying a floating rate like the 10y UST rate When the market for interest rate swaps arose and developed in the 1970s, it developed some "market conventions". People follow them even through it's easy to think of other conventions that might be better in some way. (Think of it as th question, ...


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A way to see a treasury is a as a swap fixed-float, where the floating rate is the overnight repo rate. With LIBOR being replaced by SOFR, the swap spread will end being ... ? pretty much nothing


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Speaking for USD, people stay away from tenors other than 1M, 3M, 6M, and somehow 12M. And if any client has a need for a different tenor, almost always will a linear interpolation between the closest tenors be used. 12M libor is still published but not a lot of new contracts are indexed on it. Someday some 12M libor swap might trade in the interdealer ...


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I would recommend reading: Erik Schlogl, Arbitrate-free Interpolation in Models of Market Observable Interest Rates. Andersen and Piterbarg, Interest Rate Modeling, Chapter 15. Finally, this Masters Thesis is really nice.


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Your question (What is the relation between the USD Swaps Rates and US treasuries?) is valid and interesting. You would think that (under simple assumptions) the 10 year swap rate should be almost equal to the 10 year Treasury rate, and perhaps the swap rate should be slightly higher because of higher credit risk. In fact there can be significant differences ...


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It depends on what you want to do with the interpolated 9M rate. For example, I encountered this practical problem once. Desk loaned some money to an agricultural firm that, for liquidity reasons, wanted to pay interest like this: a coupon with 9 months worth of interest, reset from 9M USD LIBOR + spread 3 monthly coupons reset from 1M USD LIBOR + spread ...


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You are mixing things up. A standard interest rate swap has 3month Libor as the floating leg. The swap rate is the rate on the fixed leg of this swap. A swap spread is the difference between this fixed rate and the yield on a Treasury bond of comparable maturity. A swap where the floating leg is a long dated Treasury yield reset every 3months is called a ...


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