Moving from IBORs to Alternative Risk Free Rates
8 Pages Posted: 29 Jan 2021
Date Written: December 31, 2020
In this short note we briefly review the state of the art of the ongoing transition from interbank rates (IBORs) to alternative risk free rates, with a focus on LIBOR and EUR benchmark rates. This note is a reduced version of a position paper published in December 2019 , reporting more details regarding the impacts of the transition on Bank’s internal processes, updated to December 2020.
Keywords: IOSCO, FSB, ECB, EMMI, IBA, BMR, LIBOR, EURIBOR, EONIA, €STR, Benchmark Rate, Interest Rate, Risk-Free Rate, Overnight Rate, Discounting
JEL Classification: E43, G15, G18
Suggested Citation: Suggested Citation