An elegant and intellectual proposal, but will it fly? That’s what swap dealers and analysts in London are asking themselves after a week of presentations in mid-May, by Liffe (the London International Financial Futures & Options Exchange) and its associates, of a revolutionary future based on swap rates.
Called the Liffe Libor financed bond (LFB), the contract would allow traders and investors to roll over or cash-settle the cashflows of a hypothetical bond discounted to net present value at euro swap rates.
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