At last, a LIBOR based (mostly) on market transactions (Premium)

ICE Benchmark Administration has published their expected “Roadmap for ICE LIBOR.” An alternate title would have been “How We Can Publish a Credible Benchmark Without Getting Our Faces Ripped Off By An Angry Mob.” This is an important document in the evolution of LIBOR and for financial markets in general. Our analysis tackles the tricky question of how ICE Benchmark will incorporate market transactions (ie, repo) in the benchmark going forward.

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