IDEAS home Printed from https://ideas.repec.org/p/zbw/fsfmwp/314425.html
   My bibliography  Save this paper

US($) interest rate and cross currency swaps after the LIBOR funeral: A corporate treasury primer

Author

Listed:
  • Heidorn, Thomas
  • Liem, Erik
  • Requardt, Stefan
  • Wahnschaap, Tim

Abstract

This paper examines the transition from LIBOR to SOFR in the US and maps out the consequences for European corporate treasurers by showing how the application of SOFR in cash products and derivatives differs from LIBOR. As interest rate and cross-currency swaps transition to compounded SOFR, corporates may face a trade-off between the higher costs of using Term SOFR versus facing operational difficulties with their internal treasury systems when using compounded SOFR in arrears. With respect to European corporates, challenges arising from the new in arrears conventions should be less pronounced since EURIBOR coexists next to €STR, which means that corporates may continue to use term rates set in advance when they choose to swap U.S. dollar exposure into euros.

Suggested Citation

  • Heidorn, Thomas & Liem, Erik & Requardt, Stefan & Wahnschaap, Tim, 2025. "US($) interest rate and cross currency swaps after the LIBOR funeral: A corporate treasury primer," Frankfurt School - Working Paper Series 236, Frankfurt School of Finance and Management.
    • Handle: RePEc:zbw:fsfmwp:314425
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/314425/1/1920641416.pdf
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    LIBOR; Benchmark Reform; SOFR; Term SOFR; RFRs; Interest Rate Swaps; Cross Currency Swap; Corporate Treasury;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G28 - Financial Economics - - Financial Institutions and Services - - - Government Policy and Regulation

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:fsfmwp:314425. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/hfbfide.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.