Beyond LIBOR: a primer on the new benchmark rates

BIS Quarterly Review, March 2019 29 Beyond LIBOR: a primer on the new reference rates1 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 characteristics with those of existing benchmarks. While the new RFRs can serve as robust and credible overnight reference rates rooted in transactions in liquid markets, they do so at the expense of not capturing banks marginal term funding costs.

benchmark rates with the aim of highlighting the key trade-offs involved. Second, it reviews the state of financial markets linked to the new RFRs and what this means for the future of term benchmark rates (ie those longer than overnight). Third, it takes a closer look at the implications for banks’ asset-liability management. It concludes by

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  Management, Benchmark

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