Benchmark reform: building a robust bank bill swap rate
With no ready replacement after Libor’s expected demise, what can treasurers expect in terms of a working rate benchmark. CT waltzes you through one option being worked on in Australia.
The problem for Libor was that it set interest rates based on ‘expert judgement’ from a panel of banks: this allowed for greater flexibility and the ability to factor in credit-based interest rates.
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