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Filtered by: Secured overnight financing rate

IBOR transition: fallback solutions in illiquid markets

16 Feb 2021
Nicolas Ziob

financial institutions foreign exchange risk FX ibor reform risk advisory asset managers risk advisory banks risk advisory insurers risk management Secured Overnight Financing Rate

At the end of this year, the LIBOR we currently know will be discontinued. For some currencies, the calculation methodology will be adjusted, while others will move to a brand new or alternative risk-free rate (RFR). This also holds for the dollar LIBOR, which will be replaced by the Secured Overnight Financing Rate (SOFR). However, some currencies use the USD LIBOR as a basis for their current reference rates, mainly due to liquidity concerns. Therefore, these FX implied rates face an additional challenge.

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