Libor could be allowed to live on – at least in name – for long after panel banks have thrown in the towel on the rate. A modified, formula-based Libor is just one of a range of extreme measures currently being considered as part of a rescue mission for financial contracts most stubbornly welded to the discredited benchmark. So-called synthetic Libor, which would see the rate calculated as a spread over an overnight risk-free rate, is one fix being discussed by a new “tough legacy” subcommittee 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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe You are currently unable to print this content. Please contact [email protected] to find out more. You are currently unable to copy this content. Please contact [email protected] to find out more.
A sterling RFR WG subcommittee is reportedly exploring the possibility of a synthetic LIBOR for certain legacy contracts, according to Risk.net. The committee has been looking into whether it would be possible to use an algorithm that could automatically adjust Libor rates in order to make them more attractive to investors.