An analysis by the Wall Street Journal of the dailyrate estimates submitted by banks that are used to calculate Liborshows the daily submissions are often slow to change and somebanks' quotes don't correlate that well with their credit-defaultswaps, both indications the rate may not be working as it issupposed to.
According to the Journal, this year through August, the18 banks that submit estimated rates for U.S. dollar Libor lefttheir rates unchanged 87% of the time on average. The number ofchanges varies widely from bank to bank, according to theJournal; Société Générale changed its quote forthree-month Libor just four times during the first eight months ofthe year, while Credit Swiss changed its quote 59 times.
See the full story here.
Continue Reading for Free
Register and gain access to:
- Thought leadership on regulatory changes, economic trends, corporate success stories, and tactical solutions for treasurers, CFOs, risk managers, controllers, and other finance professionals
- Informative weekly newsletter featuring news, analysis, real-world cas studies, and other critical content
- Educational webcasts, white papers, and ebooks from industry thought leaders
- Critical coverage of the employee benefits and financial advisory markets on our other ALM sites, PropertyCasualty360 and ThinkAdvisor
*May exclude premium content
Already have an account?
Sign In Now
© 2024 ALM Global, LLC, All Rights Reserved. Request academic re-use from www.copyright.com. All other uses, submit a request to [email protected]. For more information visit Asset & Logo Licensing.
