Compression Auctions With an Application to LIBOR-SOFR Swap Conversion

12 Pages Posted: 2 Oct 2018

See all articles by Darrell Duffie

Darrell Duffie

Stanford University - Graduate School of Business; National Bureau of Economic Research (NBER)

Date Written: September 10, 2018

Abstract

This note explains a new type of auction based on an existing derivatives risk-management technique known as “compression.” A compression auction can be used to convert centrally cleared contracts on an underlying benchmark, such as the London Interbank Offered Rate (LIBOR), to contracts on a different underlying benchmark, such as the Secured Overnight Financing Rate (SOFR). I first proposed compression-auctions for this purpose in October, 2017.

Suggested Citation

Duffie, James Darrell, Compression Auctions With an Application to LIBOR-SOFR Swap Conversion (September 10, 2018). Stanford University Graduate School of Business Research Paper No. 3727. Available at SSRN: https://ssrn.com/abstract=3259338 or http://dx.doi.org/10.2139/ssrn.3259338

James Darrell Duffie (Contact Author)

Stanford University - Graduate School of Business ( email )

655 Knight Way
Knight Management Center
Stanford, CA 94305-7298
United States
650-723-1976 (Phone)
650-725-8916 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
56
rank
356,508
Abstract Views
252
PlumX Metrics