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Applying historical data from the USD LIBOR transition period, we estimate a joint model for SOFR, Fed Funds, and Eurodollar futures rates as well as spot USD LIBOR and term repo rates. The framework endogenously models basis spreads between each of the benchmark rates and allows for the decomposition of spreads. Modelling the LIBOR-OIS spread as credit and funding-liquidity roll-over risk, we find that the spike in …
The financial industry has undergone a significant transition from the London Interbank Offered Rates (LIBORs) to Risk Free Rates (RFRs) such as, e.g., the Secured Overnight Financing Rate (SOFR) in the U.S. and the Cash Rate (AONIA) in Australia, as primary benchmark rates for borrowing costs. The paper examines the pricing and hedging method for financial products in a cross-currency framework with the special emph…
In the LIBOR era, banks routinely tied revolving credit facilities to credit-sensitive benchmarks. This study assesses the Across-the-Curve Credit Spread Index (AXI) -- a transparent, transaction-based measure of wholesale bank funding costs -- as a complement to SOFR, summarizing its behavior, construction, and loan-pricing implications. AXI aggregates observable unsecured funding transactions across short- and long…
We provide a general HJM framework for forward contracts written on abstract market indices with arbitrary fixing and payment adjustments, and featuring collateralization in any currency denominations. In view of this, we first provide a thorough study of cross-currency markets in the presence of collateral and incompleteness. Then we give a general treatment of collateral dislocations by describing the instantaneous…
LIBOR-OIS spread tracks the gap between unsecured bank funding rates and overnight indexed swap rates, historically serving as a benchmark for banking-system stress.
EURIBOR (Rates).
Interbank Offer Rate Legacy — Legacy IBOR benchmarks replaced by RFRs after reform.
SOFR Transition Basis — Spread and convexity differences from LIBOR to SOFR products.
Eurodollar Legacy Futures — Legacy LIBOR STIR futures superseded by SOFR contracts.
Euribor Path 1M (Rates).
Euribor Path 3M (Rates).
Euribor Path 6M (Rates).
Euribor Path 1Y (Rates).
Euribor Path 2Y (Rates).
Euribor Path 5Y (Rates).
Euribor Path 7Y (Rates).
Euribor Path 10Y (Rates).
Euribor Path 20Y (Rates).
Euribor Path 30Y (Rates).
Euribor Path front (Rates).
Euribor Path belly (Rates).
Euribor Path long-end (Rates).
Euribor Path ultra-long (Rates).
Euribor Path Fed (Rates).
Euribor Path ECB (Rates).
Euribor Path BoE (Rates).
Euribor Path BoJ (Rates).
Euribor Path PBoC (Rates).
Euribor Path RBA (Rates).
Euribor Path BoC (Rates).
EURIBOR (Rates).
Euribor Path 10Y (Rates).
Euribor Path 1M (Rates).
Euribor Path 1Y (Rates).
Euribor Path 20Y (Rates).
Euribor Path 2Y (Rates).
Euribor Path 30Y (Rates).
Euribor Path 3M (Rates).
Euribor Path 5Y (Rates).
Euribor Path 6M (Rates).
Euribor Path 7Y (Rates).
Euribor Path belly (Rates).
Euribor Path BoC (Rates).
Euribor Path BoE (Rates).
Euribor Path BoJ (Rates).
Euribor Path ECB (Rates).
Euribor Path Fed (Rates).
Euribor Path front (Rates).
Euribor Path long-end (Rates).
Euribor Path PBoC (Rates).
Euribor Path RBA (Rates).
Euribor Path ultra-long (Rates).
Eurodollar Legacy Futures — Legacy LIBOR STIR futures superseded by SOFR contracts.
Interbank Offer Rate Legacy — Legacy IBOR benchmarks replaced by RFRs after reform.