Search for term Libor replacement hits twin barriers

Forward-looking rates based on futures too contrived, but OIS market lacks liquidity

The swaps market has made progress in its bid to replace the Libor family of rates benchmarks with something more robust – new risk-free rates that are derived from liquid, reliable markets. But one of its next steps is to come up with term versions of those overnight rates, and sceptics believe the two obvious solutions both suffer from Libor-like flaws.

Using futures prices as the basis for a term RFR would require subjective modelling decisions on how to fill the gaps between the listed

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

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