medium · Debt Capital Markets bond-instruments-structures
What is 'Observation Shift' in a compounded SOFR calculation?
- A method where the weights (the number of days) in the compounding formula are based on the business days in the shifted 'observation' period.
- The practice of ignoring the SOFR fixing on the last Friday of every month.
- A shift in the 'yield-to-maturity' caused by a change in the Modified Duration of the bond.
- A manual adjustment made by the syndicate desk to ensure the 'New Issue Concession' remains attractive.
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