Swaptions get fallback safety net, but crave CCP fix

Isda’s Ice swap rate fallbacks calm fears, yet CCP action needed to protect physical settlement

swaptions-lifeline
Risk.net montage

The $37 trillion swaptions market is scrambling to avert potential chaos as Libor’s final days draw closer. Settlement for trillions of dollars’ worth of legacy instruments could be thrown into disarray unless fixes are implemented before year-end, when five Libor currencies, including sterling and yen, are discontinued.

Swaths of contracts may have been given a lifeline since the International Swaps and Derivatives Association confirmed support from a “significant majority” of consultation

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: http://subscriptions.risk.net/subscribe

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 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: