Wednesday 10 June 2020

Benchmarks in transition videos: Season 1: all the episodes


We have created a set of introductory videos related to Benchmarks in transition. There is a total of nine videos which are available on our Youtube channel
  1. Benchmarks: tenor deposit and overnight (11:32)
  2. Why a transition? (15:01)
  3. Overnight transition: EFFR to SOFR and EONIA to ESTR (21:10)
  4. CCP big bang - EUR (6:32)
  5. CCP big bang - USD (21:42)
  6. IBOR fallback - overview (16:40)
  7. IBOR fallback - adjusted RFR (18:06)
  8. IBOR fallback - spread (17:11)
  9. IBOR fallback - value transfer (17:34)
The videos are at the introductory level for each subject. A lot more material is available for workshops and advisory engagements. The slides of the videos are available at: http://ssrn.com/abstract=3568503.



All the graphs in our blogs, seminars and videos are produced by production grade libraries. Our libraries include the Fallback Transformers which allow to apply the exact fallback details to actual trades and portfolios. The transformation details include overnight composition, period offset, spread applicable, and discontinuation date. They are suitable for what-if analysis and risk management.



Don't fallback, step forward!

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