Fallbacks
Antitrust fears cloud Isda protocol – and fallback spreads
Wait for DoJ assurances could delay Libor transition plans and further unsettle rates trading
Beware of cliff edge in Libor fallbacks
Derivatives users may see a sudden change in the value of payoffs when Libor ends, Coremont analysts write
Shifting Libor fallback window jolts basis market
Fallback spreads widened more than 20% after UK regulator says Libor’s end could be announced this year
Libor webinar playback: Schooling Latter on timing of ‘death notice’
Benchmark cessation could be announced this year, FCA official reveals – news that has moved the market
Libor death notice could be served this year – FCA
Announcement may come soon after Isda’s fallback protocol takes effect in November
US loan market will move to SOFR by Q1 of 2021 – Wells Fargo
Libor head predicts quick transition for loans following ‘big bang’ shifts in swaps
Lawyers pick holes in Libor statutory fix
US ‘tough legacy’ contracts open to legal challenge even if proposed New York law is passed
Covid-19 disruptions expose Libor loan fallback flaws
Amending legacy loans during a crisis will prove challenging, ARRC member warns
Seeing red over blue-chip swap in Argentina’s NDF fiasco
Emta protocol salve aside, peso settlement rate snafu is a warning for emerging market FX derivatives
Pre-cessation Ibor picture gets clearer
As the derivatives market has accepted the impending transition away from interbank offered rates, attention has turned to how best to manage it. Philip Whitehurst, head of service development, rates at LCH, explores how the clearing house is working…
Libor-SOFR blowout raises questions for fallback rate
Implied three-month SOFR v Libor basis gapped to 108bp on March 19
FCA: sign up to fallback protocol or face ‘serious questions’
UK regulator urges derivatives users to accept Isda swap fallbacks to ensure compliance with benchmark law
Synthetic Libor faces legal obstacles
EU benchmark rules may thwart ‘tough legacy’ fix, reviving calls for blanket legislation
€5trn of Eonia swaps mature after benchmark’s death
Almost 20% of derivatives notionals linked to retiring rate will expire post-2022
Secrets and Libor fallbacks
Lenders may be forced to reveal sensitive funding data when Libor disappears
Libor limbo: loan market fallback language upends lenders
Banks seek to replace painful fallback language in loan docs and avoid a cost-of-funds contingency
Isda plans February rerun of Libor pre-death trigger poll
Lack of consensus would add pre-cessation option to post-cessation protocol for bilateral swaps