Swaps users to get three choices for synthetic Libor

Consultation due next month as industry tries to avoid big losses on benchmark’s death

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Two approaches use historical basis; one uses forward prices

Swaps users will be invited to decide next month on how to create a synthetic Libor rate, as the industry attempts to avoid potentially huge transfers of value in the event of the benchmark’s death.

An array of possible options has now been whittled down to three, Risk.net can reveal. The hope is that a clear favourite emerges from the consultation. If one doesn’t, it is unclear what the next steps would be.

Deepak Sitlani, a partner at Linklaters in London, says: “The selection of the fallbac

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