Mentioning November 11th!

Risk published an article on the different initiatives related to the term RFR rates: Search for term Libor replacement hits twin barriers (subscription required).

I was interviewed by Risk a month ago on the subject of the term RFR rates and the IBA "ICE term RFR" based on SONIA. I also posted a blog on the subject a month ago: ICE Term Risk Free Rates.

Risk magazine quoted me saying (yes this is me quoting someone quoting me):
“The futures have a fixed start date and end date; say from 1st of month to 1st of next month. What we need for term benchmarks is from today to today plus one month or three months, for example, from November 11 to December 11. How do we extract that information from the futures? We have to get part of the information from the November 1 to December 1 futures and part from December 1 to January 1. How this is done is subjective and depends on information that is not visible in the futures market,” says Marc Henrard, head of quantitative research at vendor OpenGamma in London.

The true quote should have been
"The futures have fixed start date and end date (say from 1st of month to 1st of next month). What we need for term benchmark is from today (or more exactly t+2) to today +1M or 3M. Today 9th October, we want the rate between 11th October and 11th November (adjusted). How do we extract that information from the futures? We have to get part of the information form the 1-Oct to 1-Nov futures and part from 1-Nov to 1-Dec. How this is done is very subjective and depend of plenty of information that is not visible in the futures market."

The difference between the two are the dates. The interview took place a month ago (on 9th October) and they updated the starting month from October to November to match the publication date, but did not adapt the day of the month accordingly. To prevent any sarcastic comment, I need to clarify that I know that Sunday 11 November is not a good business day; no LIBOR deposit has its effective date on that day. Also the discussion was generic about USD, GBP and EUR. I know that the GBP LIBOR standard is T+0 and not T+2.


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