Compression Auctions With an Application to LIBOR-SOFR Swap Conversion
12 Pages Posted: 2 Oct 2018
Date Written: September 10, 2018
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: 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
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