Marc Henrard - Multi-curve framework

LIBOR transition is involving large value transfers between market participants. In the past, I offered to my faithful readers the possibility to make money on LIBOR fallback (see the series starting here ). The money making machine required to take some "spread positions" and trust that the LIBOR cessation process would complete in a time frame of a couple of years. The LIBOR cessation completed on 5 March 2021 with the announcement regarding the forthcoming cessation. The term "position" above is in between inverted commas because the point was that it was not really a spread position from a market risk perspective, only from a name perspective. It turns out that there is a little bit of market position in the trade as described in Fallback transformers: gaps and overlaps and the following muRisQ's blogs. The position I proposed In November 2019 has made more than 10 bps in rates . Now that you have made some money with hard work, I propose a mechanism to lo...

Almost three years ago, on 30 November 2018, just after the results of the first ISDA fallback consultation were published, I explained " how to make money on LIBOR fallback ". There were many episodes to the series (see list below) but I never concluded on that first part. The conclusion came in March 2021 with the publication of the ISDA/Bloomberg fallback spreads. Those spreads have transferred huge amount of money between market participants. I hope you were on the receiving end of the value transfer. What is the order of magnitude of the money transfer? I don't know, as I don't now the positions of the different market participants. But at least I can tell you how much money you would have made if you had followed my advise from November 2018. Then I indicated that " I enter into a basis swap where I pay LIBOR-1M v receive SONIA + spread on a 30-year tenor for a notional of 1m. The current spread is at 13.45 bps. My analysis gives me a 4 to 8 basis points ...