Fallbacks
Why US dollar Libor spreads may be mispriced
Fallback spreads for all currencies could be fixed together, even if some benchmarks survive past 2021
US Fed facility bought Libor bonds with ‘weak’ fallbacks
Industry surprise over purchase of floaters linked to doomed benchmark
Slow €STR swap take-up threatens term rate fallbacks
Esma’s Maijoor calls for greater use of new benchmark to help develop forward-looking rates
Fallback dodgers walking a difficult path
Firms avoiding signing the Isda protocol will face challenges, say industry figures
How hedge funds lost big on US dollar Libor delay
Sharp narrowing of fallback spreads may have caused up to $2 billion of losses
Congress readies surprise ‘tough legacy’ Libor fix
Federal legislation to ensure legacy Libor contracts can move to SOFR is in the works
Santander, Lloyds eye Isda fallbacks for AT1 Sonia switches
Lloyds follows Santander with last-minute revision to subordinated bond reset clauses
FFCB pilots US Libor note fix as legal remedy stalls
Exchange exercise offers partial relief, but could be repeated as US issuers seek to safeguard contracts
DoJ gives green light to Isda protocol
Move clears path for possible late-January announcement on Libor cessation
Protocol delay casts doubt on Libor death knell timing
Two-month delay to Isda fallback protocol leaves FCA’s planned end-2020 statement in the balance
Cross-currency confusion stalks FCA announcements
Possibility of RFR fallbacks setting on different dates creating valuation issues, say banks
UK’s tough legacy fix spells trouble for US Libor transition
FCA will have little control over how synthetic Libor rates are used in other jurisdictions
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