New global reference rates in a post-Libor market
January 16th 2020 (4.42 mins)
Masako Oshima and Greg O'Reilly from the Structured Finance team discuss the behaviour of a new set of global reference rates, which are set to replace outgoing equivalent term rates.
Post-Libor reference rates result in lower volatility under stressed scenarios
Compounded overnight reference rates are generally less volatile than under term rates, specially in stressed scenarios.