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 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 the

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 [email protected] or view our subscription options here:

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a 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: