Dollar Libor reprieve sparks fallback uncertainty
Popular settings to end in June 2023; market seeks clarity over timing of fallback spread triggers
An 18-month reprieve for the most popular US dollar Libor settings is creating new confusion over when a fallback rate will be set for contracts that must be forcibly switched over when the benchmark is finally discontinued.
Ice Benchmark Administration said on November 30 that it will consult on ending little-used one-week and two-month dollar Libor settings after the end of 2021 – in line with plans for other currency/tenor pairs. Five remaining tenors, including prominent one- and three
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Markets
BMO Capital Markets gaining ground in US Treasuries
Canadian bank goes head-to-head with large US bulge brackets in D2C market
Citi swaption volumes surge as BlackRock relationship flourishes
Counterparty Radar: Market leader Pimco cuts nearly one-third of book in Q3
LCH-JSCC basis turns negative on BoJ policy shift
Changes in hedge fund positioning at LCH seen as driver of inversion on 20-year swaps
Term SOFR derivatives creep into US fund holdings
Global Atlantic shows sizeable swaps position against the new benchmark as other managers ease into trading
Pimco’s interest rate swaps book shrinks 21% in Q3
Counterparty Radar: BlackRock and Capital Group also trim positions to drive down swaps usage by US mutual funds
Uncertain rates outlook poses challenge for corporate FX hedgers
Hedging programmes may need a revamp as EM/G10 rates differentials narrow
Review of 2023: A hard road to a soft landing
Banks and regulators were caught in the crosswinds of the fight against inflation