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dc.contributor.authorRead, Oliver
dc.contributor.authorBeißer, Jochen
dc.contributor.otherWiesbaden Institute of Finance and Insurance (wifin)
dc.descriptionFrüherer Titel der Serie: bis 07/2019 wifi Working Paper
dc.description.abstractThe reform of LIBOR by its administrator IBA to a transaction-based benchmark, completed 2019, has not succeeded due to lack of transactions. In July 2017 the UK FCA Chief Bailey prepared the market for the end of LIBOR by end-2021. National working groups have developed alternatives to LIBOR based on overnight Risk-Free Rates. For derivatives linked to LIBOR and other IBORs, ISDA developed an IBOR Fallbacks approach on the basis of term and spread adjusted Risk-Free Rates. Bloomberg started daily calculations of fallback rates for covered IBORs on 21 October 2020. An ISDA supplement and a protocol for new and legacy derivative contracts became effective on 25 January 2021. A future cessation and loss of representativeness for all LIBOR settings was declared by IBA and the FCA on 5 March 2021 triggering an index cessation event under ISDA. Some USD LIBOR settings will cease mid-2023 instead of end-2021. The FCA will use enhanced powers to produce Synthetic LIBOR for some settings in GBP and JPY LIBOR beyond end-2021. The standard-setting bodies IOSCO and FSB are closely following the impact of LIBOR cessation and transition on systemic risk at the global level.
dc.format.extent52 Seiten
dc.publisherWiesbaden Institute of Finance and Insurance
dc.relation.ispartofseriesWIFIN Working Paper;12/2021
dc.subject2006 ISDA Definition
dc.subject2021 ISDA Interest Rate Derivatives Definition
dc.subjectInterest Rate Benchmark Reform
dc.subjectFallback rate
dc.subjectIBOR Fallbacks Protocol
dc.subjectIBOR Fallbacks Supplement
dc.subjectIOSCO Principles for Financial Benchmark
dc.subjectLIBOR Cessation
dc.subjectLIBOR Transition
dc.subjectRisk-Free Rate (RFR)
dc.subjectReference rate
dc.subjectTerm SONIA Reference Rates (TSRR)
dc.subject.ddc300 Sozialwissenschaften::330 Wirtschaft::332 Finanzwirtschaft
dc.titleThe End of LIBOR: On Interest Rate Benchmark Reform, Alternative Risk-Free Rates and IBOR Fallbacks, LIBOR Cessation and Transition
dcterms.accessRightsopen access

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