Clock auctions: a stitch in time for Libor?
MIT professor says Nobel-inspired mechanism could cut basis risk and ease $74trn Libor shift
March 5, 2021 wasn’t quite the Ides of March, but nonetheless, it set the scene for a historic end – the date that determined Libor’s demise.
The Financial Conduct Authority (FCA) announced that for euro, Swiss franc, yen and sterling Libor – and for one-week and two-month US dollar tenors – final publication would be on December 31, 2021.
The end-date for one-month, three-month, six-month and 12-month dollar Libor, was set for June 30, 2023.
In their place, market-agreed fallbacks, such as
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
More on Comment
Risk Management
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
Receive this by email
Most read on Risk.net
- After bruising EU model review, banks ask: ‘Why bother?’
- Mixed signals as swap dealers begin quoting ‘SOFR first’
- Capturing the effects of climate change on CVA and FVA
- Anti-fraud product & Anti-money laundering product of the year – BlackSwan Technologies’ ELEMENT™ of Compliance
- Swaptions get fallback safety net, but crave CCP fix