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Swaps users are worried gaps will open up in their hedging portfolios in the event of Libor’s death, unless the industry is able to line up so-called fallback language across different rates products – from mortgages and bonds to interest rate swaps.
If Libor stops being published at the end of 2021 – when panel banks will be free to abandon the scandal-hit benchmark – then products referencing Libor would switch to a new rate. Today, these fallback
The week on Risk.net, September 8-14, 2018Receive this by email