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Explanatory power of SARON term and actual rates

Hedging of SARON exposure, Part I

On 5 March 2021, the Financial Conduct Authority (FCA) announced the official dates of the cessation and loss of representativeness of the LIBOR rates. As a result, 31 December 2021 will be the last day on which the CHF LIBOR will be published. During the last months, a multitude of information were provided by the Alternative Reference Rates Committee (ARRC) and the International Swaps and Derivatives Association (ISDA). This article aims to provide an analysis of the prediction power of term and in advance rates.

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