Many derivatives contracts are pegged to a benchmark reference rate that has become unreliable. Plagued by scandal and suffering from a lack of liquidity in the interbank lending market, the London Interbank Offered Rate (LIBOR) is set to be wound down by 2021.
In a DerivSource podcast, Ivan Harkins, director and head of the structuring and advisory team at JCRA, talks about the UK’s efforts to steer liquidity towards the Sterling Overnight Interbank Average Rate (SONIA), which is already used for certain swaps, as well as the challenges involved, and whether Libor can survive in any form. Read Ivan Harkins’ related commentary article.
