developments in a changing financial landscape. This paper discusses the change from US$-LIBOR to the Secured Overnight Financing … Rate (SOFR) and the Chicago Mercantile Exchange (CME) Term SOFR as new reference rates. Main changes for US$ IRS against … SOFR is a fixing-in-arrears, a loss in the money market term structure, and a change of implicit credit spreads. As only …

US longterm swap yields by econometrically modeling its dynamics using an autoregressive distributed lag (ARDL) approach … bill rate on the monthly changes in swap yields of different maturity tenors after controlling for a host of macroeconomic …