
Legacy Libor swaptions face day of reckoning
Holders of physically settled swaptions in sterling and yen must switch to new risk-free rates, but it’s not simple

Benchmark transition has shifted to a new phase. Derivatives users are mopping up any remaining instruments stubbornly clinging on to Libor after most settings of the outgoing rate ended on December 31. For physically settled swaptions denominated in sterling and yen, the effort is proving tricky.
Clearing houses, LCH and JSCC, are providing clearing services for legacy Libor swaps which are the result of a physically settled Libor swaption being exercised. The clearing houses will
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