Trouble with the Curve

As the industry scrambles to find the next best thing in a post-Libor world, the most viable emerging substitutions are based on actual transaction data, but still fall short.

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Not only has the London Interbank Offered Rate (Libor) endured a number of scandals throughout the years, but the fundamental structure of the market from which it was derived has drastically changed. Replacing Libor, deemed the “world’s most important number,” with a risk-free rates (RFR) based on actual trade data is imminent, but currently, no viable alternative is available that mirrors Libor’s curve and term structure.

The transaction data necessary to prevent rigging the numbers and

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