Determining modeling, pricing and transaction rules for the transition from LIBOR to TLREF for the Banks Association of Türkiye and Ernst&Young

As is the case globally, the decision has been made to terminate LIBOR and its financial contracts in Turkey. The aim of this project is to model and price the TLREF rate proposed in Turkey to replace LIBOR, describe the transition process, and design future TLREF-based derivative products.

Year: 2020 – 2021

Institution: The Banks Association of Türkiye / Ernst & Young

Status: Completed

As is the case globally, the decision has been made to terminate LIBOR and its financial contracts in Türkiye. The aim of this project is to model and price the TLREF rate proposed in Türkiye to replace LIBOR, describe the transition process, and design future TLREF-based derivative products.

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