A new note in the series Market infrastructure developments analysis
is now available on SSRN. The note, titled
A quant perspective on IBOR fallback proposals
is written by Marc Henrard
With the increased expectation of some IBORs discontinuation and the increasing regulatory requirements related to benchmarks, a more robust fallback provision for benchmark-linked derivatives is becoming paramount for the interest rate market. Several options for such a fallback have been proposed. This note describes and analyses some of those options. The focus is on the quantitative finance impacts. None of the options that have been proposed fits all of the criteria for a good fallback provision. It appears that some of the options that have gained traction failed even the achievability criterion. The note concludes with the author's personal preference.
The note is available on SSRN: http://ssrn.com/abstract=3226183