Signing the Libor fallback protocol: a cautionary tale
As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
There is general consensus that Libor publication will be discontinued in the coming years. The option of last resort for existing Libor-linked derivatives is to rely on so-called fallback language, which provides alternative benchmark options, should the primary rate be unavailable.
The majority of the derivatives market is governed by International Swaps and Derivatives Association master
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