Thank you for sharing. The speakers gave a good overview of the SOFR program.
@noahgemma9829
3 жыл бұрын
What do you think of Bloomberg's IBOR fallback rate adjustments formula? I.e., what world events/trends would make it so that the Bloomberg's IBOR fallback rate adjustment would be higher than LIBOR?
@noahgemma9829
3 жыл бұрын
On the Bloomberg website, there is a link to a rule book explaining their fallback rate adjustment formula
@noahgemma9829
3 жыл бұрын
I also read that SOFR--unlike LIBOR--has spikes at month/quarter ends. Do you think Bloomberg's formula accounts for the spikes accurately?
@rohandeonarain8786
3 жыл бұрын
@@noahgemma9829 probably due to quarter end balance sheet adjustments where there are less paticipants in the repo markets
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