Only 10 years to cessation - WIBOR world record!

On Monday and Tuesday I was in Warsaw presenting a workshop related to the content of my soon to be published book "Interest Rate Modelling in the Multi-curve Framework: Foundations, Evolution, Transition, and Implementation". In the book's subtitle, there is "Transition". I knew that the Polish market was in a transition phase between WIBOR and POLSTER. Nevertheless, I was surprised that the WIBOR benchmark administrator announced while I was there that WIBOR will cesse to be published on 1 January 2037 (to my knowledge, no casual relation between my presence and the announcement). That is a 10-year period between announcement and actual cessation! That is a world record!!!

Congratulation to Poland for that world record. Now you have to live with it! In particular have a look at Section 6.6.4 of my book and my blog posts LIBOR Fallback Transformers - Risk transition, LIBOR fallback transformers - forward discontinuation and LIBOR discontinuation and curve calibration to see the impacts.

Don't hesitate to contact me if you are interested in my experience in the transition analysis.

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