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 …

from EONIA to €STR OIS discounting. USD IRS will move from USD LIBOR to the overnight rate SOFR. Consequently, interest … is nearly risk free unlike USD LIBOR. One direct result is a lower swap rate. Moreover, banks no longer have an interest … are derived by (1) studying publications from the standard setting bodies behind the reforms and (2) by analyzing swap …

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 …

Interest rate benchmarks are currently undergoing a major transition. The LIBOR benchmark is planned to be discontinued … the LIBOR replacement will most likely be constructed from a compounded running average of RFR overnight rates over a … period matching the LIBOR tenor. This new backward-looking benchmark is markedly different when compared with LIBOR. It is …

This paper econometrically models the dynamics of the Chilean interbank swap yields based on macroeconomic factors. It … examines whether the month-over-month change in the short-term interest rate has a decisive influence on the long-term swap … autoregressive conditional heteroskedasticity (GARCH) approach to model the dynamics of the long-term swap yield. The change in the …