Beyond Libor special report 2018

Financial markets are sitting on a time bomb. In just over three years’ time, the rate that underpins $350 trillion of financial contracts could disappear. Whether by choice or by regulatory force, transition away from discredited Libor rates is something market participants can no longer ignore.

But while regulators are calling on banks to transition to risk-free rates (RFRs), they are also introducing higher capital charges for illiquid trades as part of the forthcoming Fundamental Review of the Trading Book. That means it would be costly for banks to transition to alternative RFRs before sufficient liquidity emerges. 

The scale of the issue has hardly been played down. At $350 trillion, the world’s most important number is more than four times gross world product. But that may just be the tip of the iceberg when it comes to solving the problem. 

 

Download the full 2018 Beyond Libor special report in PDF format

  • LinkedIn  
  • Save this article
  • Print this page  
RFR valuation challenges

A new system of interest rate benchmarks for all major currencies is emerging. These new benchmarks will replace interbank funding rates with risk-free rates (RFR). This article by LPA focuses on valuation challenges during the transitional period to new…

Is Libor going away?

Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: