Goebel, Josua; Heidorn, Thomas; Huang, Zizhen - 2022
This paper examines how the IBOR Reform affects interest rate swaps (IRS), focusing on Euro and US Dollar. The effects … is nearly risk free unlike USD LIBOR. One direct result is a lower swap rate. Moreover, banks no longer have an interest … rate that captures their funding costs. Lastly, EURUSD cross currency swaps now mostly exchange €STR for SOFR instead of …