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Day: January 12, 2021

Cessation of LIBOR: Why is so much new risk still being transacted?

January 12, 2021 Chris Barnes Posted in Regulation No comments

Q4 2020 saw $7.0bn DV01 of new USD-LIBOR* linked activity written in OTC derivatives markets. It is a similar story in GBP ($4.5bn DV01), JPY and CHF markets. Why is so much new risk being written against these indices when they are due to cease imminently? Responses to the IBA consultation on a possible cessation […]

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