developments in a changing financial landscape. This paper discusses the change from US$-LIBOR to the Secured Overnight Financing …

By halting the LIBOR's publication, large volumes of fixed income securities, from loans to derivatives, will fall back … Adjustment (FVA) reset amounts. Our proposal accomplishes the LIBOR indexing’s mandate of transferring banks’ funding risk to … counterparties more accurately and robustly than the LIBOR itself while being objective and legally robust. We conclude that the …

of fixings for LIBOR interest rate swaps in terms of the relevant swap rates that reference the Risk-Free Rate that will … replace a particular LIBOR post its cessation. The nonlinear mappings proposed from the swap rate that references the Risk …-Free Rate index to the LIBOR swap rate that can be used contractually to value derivative instruments, such as vanilla European …