Heidorn, Thomas; Meier, Rebecca - 2024
The main focus of this paper is a comprehensive overview of the US$ reference rate reform, with a particular focus on … its implications for USD interest rate swaps (IRS). This paper aims to shed light on the current situation and future … Rate (SOFR) and the Chicago Mercantile Exchange (CME) Term SOFR as new reference rates. Main changes for US$ IRS against …