Ahead of the curve: how traders profited from Libor fallbacks

Interesting article in Risk.Net on "making money on LIBOR fallback". The title of this blog is the title of the Risk article published on 19 June 2019 (subscription required).  The title between inverted comma above is the title of my series of blogs on the same subject, the first of which was published on 30 November 2018.

The Risk article was in part inspired by my blogs, as you can see from the references to the figures I computed and the link to a recent muRisQ blog on the flatness of the GBP LIBOR-3M/SONIA curve.

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