Cross-currency confusion stalks FCA announcements

Possibility of RFR fallbacks setting on different dates creating valuation issues, say banks

The potential for Libor benchmarks to be discontinued at different times is leading to valuation uncertainty in the cross-currency swap market, say dealers.

When an announcement is made to signal the end of a Libor rate – which could be as early as this year – the rate to which outstanding Libor-linked contracts will fall back to is set. But participants are concerned that any announcement might not cover all 35 Libor currencies and tenors at once.

These could instead be staggered throughout