成人大片

Skip to main content Skip to secondary navigation
Publication

Compression auctions with an application to LIBOR-SOFR swap conversion

This note explains a new type of auction based on an existing derivatives risk-management technique known as "compression." A compression auction can be used to convert centrally cleared contracts on an underlying benchmark, such as the London Interbank Offered Rate (LIBOR), to contracts on a different underlying benchmark, such as the Secured Overnight Financing Rate (SOFR). I first proposed compression-auctions for this purpose in October, 2017

Author(s)
Darrell Duffie
Publication Date
September, 2018