LIBOR Fallback = Adj RFR + Spread

Рет қаралды 12,875

3 жыл бұрын

Explains the ISDA LIBOR fallback calculation methodology. The methodology proposes that any LIBOR linked payment/cash flows resulting from legacy trades/deals are linked to the compounded RFR (these would be compounded sonia/sofr for example) with the basis between LIBOR and the adjusted RFR set a fixed value.

Пікірлер: 19

@harrygong8790 3 жыл бұрын

Just want to give a thumb up before watching. Was not expecting that this topic would be covered in time. Great job!

@quantpie 3 жыл бұрын

thanks! much appreciated!

@bmm760036 Жыл бұрын

What a great an useful video. Well explained and illustrated for those of us who learn best using visualisations.

@navadeeppodapati2319 Жыл бұрын

I like the music in between :D. A very good explanation of LIBOR Fallback

@nashsequilibrium9832 3 жыл бұрын

Great video, thank you for sharing! As an aspiring quant, I would love to see some practical examples of implementing a model from start to finish!

@quantpie 3 жыл бұрын

You're welcome! Great suggestion, we are definitely going to explore how to make this work! thank you!!

@ilevitatecs2 2 жыл бұрын

thanks for the video. can you provide the differences between Daily Simple SONIA in Arrears, Daily Compounded SONIA in Arrears, forward looking Term SONIA and SONIA Averages (Applied in Advance)? Would be very helpful

@robmarks6800 3 жыл бұрын

Do you recommend any resources for understanding this video and other types of macro rates? I’m looking for some kind of first principles introduction

@quantpie 3 жыл бұрын

Man thanks for the great question! As this is an industry wide initiative, a lot is getting published so excellent time to learn more about the topic before the knowledge gets lost/archived! There is a lot of material on the working groups of the main currencies, and ISDA has also been very active publishing the supplements and recommendations. We have added links to the various working groups in our newsletter which you can find here: newsletters.quantpie.co.uk/issues/quantpie-s-newsletter-issue-3-455912

@atheneej.1692 2 жыл бұрын

Great video! Do you know where ISDA indicates the 2 days backward shift? I cannot seems to find it anywhere. Is it in the calculation formula?

@quantpie 2 жыл бұрын

Many thanks! Does this doc answer your question please?: assets.isda.org/media/4ff1a000/b6e5395e-pdf/

@renalnunes1692 3 жыл бұрын

Thank you for such an informative video. Can you please provide links wherein I can get more information about the protocol that focuses majorly on legacy contracts and synthetic LIBOR methodology?

@quantpie 3 жыл бұрын

You're welcome! The two docs (supplement and protocol) are available on ISDA's site - link here pls: assets.isda.org/media/3062e7b4/23aa1658-pdf/, assets.isda.org/media/3062e7b4/08268161-pdf/. Hope this helps! PS: We have also listed some general references in the recent newsletters, which may also be of interest.

@renalnunes1692 2 жыл бұрын

@@quantpie Can you please help me with the understanding of the compounded SONIA calculations? Do you know any sources where I will be able to find the sample calculation for a given term? Please help me. Your guidance would be of a great help for my analysis

@anikatemudgal840 2 жыл бұрын

Superb Video. May I check if Bloomberg fallback rate is forward looking like Libor or backward looking please ?

@quantpie 2 жыл бұрын

It is backward looking - in arrears. Many thanks!

@asvlogs2288 Жыл бұрын

what is libor reset date ?

@rittersport2952 2 жыл бұрын

Thank you for the great video. As far as I understood from your video, adjusted RFR 0.05371% plus 3-month ISDA fallback spread adjustment 0.1193% would be 0.17301%, which appears to be much more expensive than 3-month LIBOR 0.05913%. Wouldn’t it be unfavorable to the borrower?

@quantpie 2 жыл бұрын

Hello, many thanks for the question - it is a great question! This 0.1193% is an average, so for any payment/accrual period, the Adj RFR + Spread would be different from the corresponding LIBOR rate - could go either way!