Japan’s Libor-linked structured products face basis menace

Lack of readiness for compounded rates could sweep repacks onto synthetic Libor, creating swaps mismatch


Hordes of structured products linked to Japanese yen Libor could end up in the so-called tough legacy camp if parties fail to negotiate suitable fallbacks in the coming weeks – an outcome that would see the instruments mopped up by a synthetic version of the outgoing benchmark and expose arranger banks to hefty basis risks.

Contractual fallbacks for popular products such as repackaged bonds may prove challenging to negotiate, participants say. The instruments, which use swaps to generate

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


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