DTCC Connection

Nov 01, 2012 • DTCC Connection

Libor 2.0: The Runners and the Riders

Tom Newton, RISK


Since US and UK regulators announced the June 27 settlement of investigations into Libor rigging at Barclays, commentators have been predicting the death of the benchmark – but it is not easy to replace an interest rate referenced by an estimated $300 trillion in financial products.

“Putting aside the terrible way Libor is fixed – by asking dumb questions to banks – it’s actually a marvellous construction of a family of derivatives and cash instru - ments that work so well together. It’s a wonderful foundation for completing markets,” says Darrell Duffie, professor of finance at Stanford University’s Graduate School of Business in California

Download the Congressional Testimony: Libor 2.0: The Runners and the Riders