Interest Rate Benchmark Transition: Navigating SOFR, SONIA, STR, SARON, and Post-LIBOR Markets

By Aldrin Henry

Interest rate benchmark reform has reshaped how loans, bonds, swaps, and structured products are priced, documented, and managed. This book offers a clear, practical guide to the post-LIBOR landscape, with focused coverage of SOFR, SONIA, STR, and SARON, along with the operational and legal changes that come with them.

Written for practitioners who need more than a high-level overview, it explains the core mechanics behind each benchmark, then connects those mechanics to real business use. Readers get a structured path through benchmark governance, compounding conventions, observation shifts, lookbacks, payment timing, spread adjustments, fallbacks, and transition milestones.

What the book coversBenchmark foundations, including terminology, administration, publication cycles, and how RFRs differ from LIBOR-style settings.Regional benchmark detail for SOFR, SONIA, STR, and SARON, with practical examples of payment calculations and interest accrual.Fallback and contract design, showing how replacement rates, triggers, and adjustment language operate in practice.Product conversion across loans, bonds, securitisations, and derivatives, with attention to documentation and market standards.Valuation and risk impacts, including discounting, curve construction, hedge effectiveness, and model updates.Operational implementation, from data feeds and system changes to reconciliation, controls, and audit evidence.Compliance and reporting, covering accounting, disclosures, regulatory expectations, and tax considerations.Why it is useful

The chapters move from concept to execution, making the book helpful for treasury teams, risk managers, legal and documentation specialists, operations staff, valuation experts, and anyone involved in transition programs. Each section is designed to support day-to-day decision-making, whether the task is revising a fallback clause, updating a pricing model, or reconciling a reset in a production system.

With practical examples throughout, the book helps readers translate benchmark rules into workable procedures. It is especially suited to institutions that need to inventory existing contracts, convert legacy language, align systems and controls, and communicate transition impacts clearly across teams.

A focused reference for navigating benchmark change with confidence, technical precision, and operational clarity.

• Format: Paperback
• Language: English
• ISBN: B0H9VJ5S8J
• ISBN13: 9798188407469
• Release Date: July 2026
• Publisher: Independently Published
• Length: 236 Pages
• Weight: 1.23 lbs.
• Dimensions: 0.5" x 8.5" x 11.0"