Friday, March 15, 2019

IBOR replacement

#IBOR #replacement by 2021-dec-31: 


  • US: Secured Overnight Funding Rate (SOFR) 
  • UK: Sterling Overnight Index Average (SONIA)  
  • EU: Euro Short Term Rate (ESTER) 
  • Switzerland: Swiss Average Rate Overnight (SARON) 
  • Japan: Tokyo Overnight Average Rate (TONAR or TONA) . 


 Main care is about products with maturity > 2021-dec-31.
"Younger" products will mature naturally.
 
ISDA prepared report: Anonymized Narrative Summary of Responses to the ISDA Consultation on Term Fixings and Spread Adjustment Methodologies

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