JP Morgan warming to derivatives-based term RFR rates
Risk Live: Unlike Libor, the market has a say in them. (Though they may not be real term rates, executive muses)
Wading into the debate on term rates in the Libor offshoots, JP Morgan’s head of rates said the bank could warm to them as an interim solution because they are able to “self-heal” in the derivatives market – as opposed to the rate-by-committee Libor.
Speaking at Risk Live in London on Thursday, Charles Bristow, also head of fixed income financing and credit portfolio trading, noted as well that support for them is building in the groups tasked with laying out the new risk-free rates (RFRs).
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