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15 janvier 2021
- handle: 10670/1.psunn7
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Grégoire Geissbühler et al., « Discontinuation of LIBOR: Have the Replacement Rates Passed the Covid Test? », Serveur académique Lausannois, ID : 10670/1.psunn7
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The present article describes the dynamic of LIBOR in regard to its future replacements rates (eg, Secured Overnight Financing Rate (SOFR), Sterling Over Night Index Average (SONIA), Euro Short-Term Rate (€STR) and Swiss Average Rate Overnight (SARON)) and in particular, how these rates evolved during the Covid-19 pandemic for the period 23 January to 23 April 2020. The identification of the similarities and differences between these rates is important for determining whether the contractual parties, including a reference to LIBOR or other rates in a contract, can rely on hardship or similar measures.