FinPod: Interest Rate Swaps Masterclass: Modeling SOFR & The End of LIBOR
The Interest Rate Swap (IRS) market, the biggest derivative contract in the world, has undergone a massive overhaul. LIBOR is gone, and the way plain vanilla swaps are traded has changed dramatically.
Join us to discuss the new Interest Rate Swap course, which fully reflects these 2025 market realities and provides the up-to-date, essential knowledge you need.
This episode covers:
- The LIBOR Revolution: Why the global benchmark was discontinued and how the industry pivoted to new Alternative Reference Rates (ARRs) like SOFR, Sonya, and ESTR.
- OTC vs. Exchange-Traded: The fundamental shift in how swaps are traded, moving from private Over-the-Counter (OTC) negotiation to regulated Swap Execution Facilities (SEFs), introducing daily margin calls and mark-to-market.
- Hands-On Modeling: You will learn to bootstrap forward rate curves to determine implied forward and zero rates, and model the valuation of a swap's fixed and floating legs.
- Real-World Application: We walk through modeling a real-life SOFR swap using actual market data examples (Refinitiv screens), giving you practical, up-to-date skills.
Master the most critical product in the derivatives market and ensure your knowledge is current with the post-LIBOR financial landscape.
