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I'm not a domain expert, but both could be right - isn't the point that some currencies and tenors are very illiquid, not that the entire market doesn't exist?
by jkaptur 9y ago
I'm not a domain expert, but both could be right - isn't the point that some currencies and tenors are very illiquid, not that the entire market doesn't exist?
- tigershark 9y agoNeither am I, but you can easily interpolate from Fx rates and from other tenors plus the liquidity informations and create synthetic instruments from others that you already own. Everyone that trades in Fixed Income does (or should do) this. And as I read in another comment for sure everyone has been migrating to alternative benchmark like OIS for a while to get their official risk numbers.
- JumpCrisscross 9y ago> isn't the point that some currencies and tenors are very illiquid Yes. It's a subtlety bulldozed over in this article because nuance doesn't sell clicks like outrage. Recapitulating an earlier comment, the regulator Taibbi cites speaks competently about this [1]; the least actively-traded currency-tenor traded only about once a month. (Every other currency-tenor traded more often.) That may be a fine frequency for 6-month wholesale interbank rates in Danish krona (which, until recent reforms, was one of the currencies Libor was quoted for [2]). But turning it into a daily rate with three decimal places of precision is silly. [1] https://www.fca.org.uk/news/speeches/the-future-of-libor https://www.fca.org.uk/news/speeches/the-future-of-libor [2] https://en.wikipedia.org/wiki/Libor#Currency https://en.wikipedia.org/wiki/Libor#Currency