EPISODE · Aug 12, 2020 · 24 MIN
Cessation Plan - High Quality Credit Spreads
from Macro Horizons · host BMO Capital Markets
Dan Krieter and Dan Belton discuss some recent key developments in the Libor-SOFR transition, including: ISDA’s soon to be released protocol, Libor fallback values, and the potential for a pre-cessation trigger by the end of 2020. In addition, they cover key obstacles that remain including a term structure for SOFR and ultimately whether or not the end of 2021 remains a viable target for the end of Libor.
What this episode covers
Dan Krieter and Dan Belton discuss some recent key developments in the Libor-SOFR transition, including: ISDA’s soon to be released protocol, Libor fallback values, and the potential for a pre-cessation trigger by the end of 2020. In addition, they cover key obstacles that remain including a term structure for SOFR and ultimately whether or not the end of 2021 remains a viable target for the end of Libor.
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Cessation Plan - High Quality Credit Spreads
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