Shifting Libor fallback window jolts basis market

Fallback spreads widened more than 20% after UK regulator says Libor’s end could be announced this year

New window

Short-term sterling and US dollar Libor spreads blew out this week on the surprise news that Libor’s death could be confirmed a year earlier than expected.

On June 22, Edwin Schooling Latter, head of markets and wholesale policy at the UK Financial Conduct Authority said an announcement could come as early as November this year.

The comments “caused an earthquake in the markets”, according to a risk manager at one European bank – spreads between three- and six-month Libor spreads in sterling

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 copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here