The transition from a reference rate regime centred on interbank offered rates (IBORs) to one based on a new set of overnight risk-free rates (RFRs) is an important paradigm shift for markets. This special feature provides an overview of RFR benchmarks, and compares some of their key...

Short articles on the LIBOR scandal looking for a deeper understanding of the crisisAt the end of June 2012, news of a further scandal in the banking industry broke – although, there was widespread knowledge about this problem within the industry. One UK bank, Barclays, had fines levied by the...

Frontmatter -- Advance Praise for Random Walks in Fixed Income and Foreign Exchange -- Foreword -- Contents -- Preface -- Chapter 1 What Really is the Cross-Currency Basis? -- Chapter 2 XVA and the Cross-Currency Basis -- Chapter 3 Calculating Novel Cross-Currency Bases and FX Hedged Pickups --...

MNB has received daily, transaction-level data on key Hungarian interest rate derivatives markets since the beginning of 2009 with the launching of the K14 report. The dataset that has accumulated since early 2009 provides an opportunity to better comprehend the structure and functioning of...