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SWilson
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Posts: 64
Joined: February 13th, 2018, 5:27 pm

LIBOR Sunset

May 28th, 2020, 9:17 pm

Anyone doing anything to get ready?
 
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bearish
Posts: 5624
Joined: February 3rd, 2011, 2:19 pm

Re: LIBOR Sunset

May 28th, 2020, 10:46 pm

Wait, you mean hoping it will go away is not a strategy? 
 
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bearish
Posts: 5624
Joined: February 3rd, 2011, 2:19 pm

Re: LIBOR Sunset

May 29th, 2020, 3:40 pm

There is a lot to be worried about, and lots of committee time is spent worrying. My primary concern would be about structures or entities that may end up with profound structural mismatches between cash instruments and derivatives hedges. Since ISDA is usually pretty good at managing this sort of stuff (a beneficial side effect of two decades of credit derivatives) the problem is likely to lie on the cash side. If you haven’t already traded out of positions in structured products with weak fallback language it may already be too late, although I honestly don’t know that for a fact. By now I’m so far removed from the world of exotic derivatives that I don’t know what is going to happen there, but I can’t imagine it being anything good.
 
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SWilson
Topic Author
Posts: 64
Joined: February 13th, 2018, 5:27 pm

Re: LIBOR Sunset

June 2nd, 2020, 3:22 pm

Yeah, I'm just wondering how all of the existing contracts are going to terminate/switch to SOFR/readjust?  Once SOFR is the new underlying, that's the easy part.  Plus, there are some considerations around discounting but I don't see much fuss over that.  
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