Incompatibility of the LIBOR Fallback Methodologies

On 18 April 2019, published an article that highlights the incompatibility of the LIBOR fallback methodologies that have been proposed by ISDA with certain interest rate products (e.g., in arrears swaps, FRAs, caps, and floors).

The suggestion is that these products will either have to be unwound or contractually modified. Adherence to the Benchmarks Supplement protocol would not be advisable for any dealers in those products as the protocol is not sufficiently granular and does not differentiate between product types.

Read the full article here–