Marc Henrard - Multi-curve framework

I finally found the answers to the second ISDA consultation on IBOR fallback. It has been published on 19 September, but somehow you have to navigate through a layer of webpages to find it. It never appeared on the ISDA news. To my knowledge, the only link is on the last line of the announce of the consultation on final parameters. The direct link is https://www.isda.org/a/0LPTE/2019.09.18-Anonymized-ISDA-Supplemental-Consultation-Report.pdf The report contains manipulation of the results, false claims, violate standard academic copyright fair use by not attributing to the authors in a recognizable way. Manipulation 21. If the respondents’ ranking preferences to the 2018 Consultation were such that the compounded setting in arrears rate with historical mean/median approach was not the preferred combination (i.e., ranked second or lower), these respondents also were treated as answering “Yes” to Question No. 1 of the 2019 Supplemental Consultation as long as the respondents were

I'm preparing my answer to the `` Consultation on Final Parameters for the Spread and Term Adjustments in Derivatives Fallbacks for Key IBORs '' issued by ISDA. By reading the questions at the end of the consultation, I have the impression they have at last read my July 2018 and  January 2019`` quant perspective '' (available on SSRN here and here ). A lot of the questions asked in the consultation were debated there: negative " spreads " (monetary policy misestimation), proposal not achievable and requiring shifts or lockouts, holiday calendar problems, shift and lockout workaround not working, calculation period instead of IBOR period. Maybe I should start my answer with "I told you". Even if my fingers are itching, I will make an extensive effort and answer the consultation in a business-like fashion in my official answer. But in my blog, I can let my fingers fly and make blog-like answers! Q: Which cities should apply for the purposes

A first ESTR swap has finally be traded. The trade is reported in Risk.Net: ESTR swap trading gets under way   It is a EUR 100 millions, 1-week swap traded on 30 September (effective date 2 October) between HSBC and JP Morgan. I know that ESTR will be published only as of today (actually yesterday rate, because of T+1 shenanigan) and people will argue that it was not possible to trade before and my "finally" is not warranted. I strongly disagree with that, as explained for a couple of months in some blogs ( here and here ). One could have traded forward start swaps or swaps with a pre-launch fallback to EONIA - 8.5 bps. Moreover, CCP will accept clearing only on 21 October 2019 for LCH and 18 November 2019 for EUREX. CCPs explain their delay in providing that elementary service by the requirement for "client to be ready" (see my take here ). There was no logical requirement for client to be ready for the CCP launch as clients are not obliged to clear those tr