Basis spreads reprice as FCA confirms Libor end-dates

Fallback adjustments for US dollar Libor swaps were not fully priced in by the market


US dollar Libor markets repriced on March 5 after the UK's Financial Conduct Authority confirmed the end-dates for the discredited benchmarks, fixing the spreads at which more than $300 trillion of interest rate swaps will transition to replacement rates.

Publication of most Libor benchmarks will cease on December 31, 2021, while five US dollar versions will continue for another 18 months for use in existing contracts. The announcement triggered the calculation of fallback spreads designed to

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