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Short note on long-term repos

The market infrastructure for interbank lending and derivatives has dramatically changed over the last ten years. The interbank lending is done now mainly on a secured basis. Derivatives are margined daily with variation margin guaranteeing the full present value of the trades. The world of interest rate benchmarks is also rapidly changing with the possible discontinuation of the IBOR benchmarks that have reigned on the benchmark kingdom over the last 30 years and the emergence of secured rate overnight benchmarks. All derivative users are now well aware of the difference between overnight-indexed swap (OIS) rates and term LIBOR deposit rates even if its discovery may have been sudden to some market participants in 2007. When we combined the secured term lending, the collateralised derivatives and the secured benchmark, what is left of the OIS-term deposit difference? This is the question I try to answer in a brief note now available on SSRN at https://ssrn.com/abstract=3258690 U...
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Multi-curve framework book new edition: endorsement by Marco Bianchetti

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Published!

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My " Interest Rate Modelling in the Multi-curve Framework " book has finally been published! It took quite some time between finishing the writing in the first half of 2025 and the actual physical availability. Hopefully some of you will find some interest in the result. Training based on the book’s content will be proposed. It can be as in-house or public workshops. One of the public workshops is planned for 17 and 18 December. Don’t hesitate to contact me if you are interested. ISBN-13: 978-3-032-02684-2 Related posts: Multi-curve framework book: new edition in progress Multi-curve book's cover Multi-curve book's cover (2) Multi-curve book: About the Book Multi-curve framework book new edition: endorsement by Andrea Pallavicini Multi-curve framework book new edition: endorsement by Marco Bianchetti Multi-curve framework book new edition: endorsement by Damiano Brigo Book publication soon!
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