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
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
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