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
- Benchmarks: tenor deposit and overnight (11:32)
- Why a transition? (15:01)
- Overnight transition: EFFR to SOFR and EONIA to ESTR (21:10)
- CCP big bang - EUR (6:32)
- CCP big bang - USD (21:42)
- IBOR fallback - overview (16:40)
- IBOR fallback - adjusted RFR (18:06)
- IBOR fallback - spread (17:11)
- IBOR fallback - value transfer (17:34)
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!
Contact us for LIBOR fallback and discontinuation: trainings, workshops, advisory, tools, developments, solutions.