Moving from IBORs to Alternative Risk Free Rates

Abstract

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 by AIFIRM in December 2019 [1], 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