Marc Henrard - Multi-curve framework

Since the publication of my latest blog on the ISDA fallback and the associated protocol, I had several discussions about my views and many articles and opinions have been published. In this blog I detail further my (biased) views and also comment on some quotes I have read recently. Preliminary version (2020-11-15). This post is longer that the traditional one because Je n'ai fait celle-ci plus longue que parce que je n'ai pas eu le loisir de la faire plus courte. Blaise Pascal - Les provinciales, lettre 16 (1656) There is a lot to say about LIBOR potential disappearance and associated fallbacks. The need of a better fallback that the one currently in the ISDA definition is acknowledged by all. The current (as of November 2020) ISDA definition fallback is not fit for purposes. ISDA has proposed new definitions that will be effective next year. It also proposed a protocol that would allow market participants to voluntarily change the definition of the legacy contracts (i.e. c...

 A monthly follow-up on the "Where is ESTR?" posts.  Previous installments are Where is ESTR? , Where is ESTR? (2) , Where is ESTR? (3) , Where is ESTR? (4) and Where is ESTR? (5) . Increase in the volume, but still below the January and February levels. With the recent big bang from EFFR to SOFR for collateral (and discounting) at LCH and CME, how is the volume of SOFR related swaps doing? The volume has been increasing to reach more than 600 billions from a previous maximum of less than 400 billions the previous month. But October was the "big bang" month. Part of that volume may (or may not) be related to the auction and be a one-off increase. For USD-SOFR, I have also added (weekly) figures from ISDA Swap Info . Those figures are related only to transactions disclosed under US regulation, hence only a very partial (in both sense of the term) view of the figures. We see also an increase of SOFR volume (in yellow), but this has already decreased significantly s...