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September 28, 2015

ACAPM responds to Evolution of ICE LIBOR Position Paper II

ACAPM (Associates in Capital Markets) today, provided its response to the evolution of ICE LIBOR position paper II  issued for feedback on 31st Jul 2015. Issued with the objective of developing a consistent measure with respect to LIBOR submission and governance methodology, ICE posted several questions on various topics of LIBOR calculation and submission intricacies. 

 

ACAPM, agreed in principal with the efforts of the regulators in this regard. While concurring with the view that waterfall methodology is a better representation of LIBOR,  It also suggested certain changes to the calculation methodology including suggestion of adopting "Adaptive trimmed mean" to make LIBOR a more robust benchmark. The complete response to the paper can be found below.

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