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Implementing SOFR in Models (or Model Versions) that do not have SOFR Settings
As we mentioned in Part 1 of our SOFR series, some of today’s models don’t have the flexibility to easily incorporate the shift from LIBOR to SOFR, and model owners must find a way to overcome this hurdle. In this blog…
The Transition from LIBOR
As many financial institutions have been finalizing their transition away from the London Interbank Offer Rate (LIBOR), others are still re-configuring models that are impacted by the change. In Part I of this blog…
U.S. Treasury Yields Surpass China, but What Does it Mean for Interest Rate Parity?
On Monday, April 11, 2022 – for the first time in twelve years – the spread between Chinese 10-year bonds and the comparable US Treasury didn’t just close but turned negative…
Deposit Market Snapshot: May 2022
In the last couple of market summaries, I have begun by stating my overall view of the economy was one of cautious optimism. This time around I am more cautious and less optimistic…
Mitigating Risk & Strengthening Model Framework with Good Governance
It has already been established that having a solid understanding of Interest Rate Risk (IRR) and a sound IRR modeling process is critical to supporting management’s deployment of balance sheet strategies for financial Institutions…
