market moves

Libor risks

Category: ABS Regulation

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Securitized products with swaps at most risk when Libor dies

While the potential damage to US securitized markets inflicted by the abolition of Libor appears less than seemed likely only a few months ago, pockets of concern remain, say credit analysts.

Deals which include swaps, particularly cross currency swaps, are most vulnerable. Any interest rate swap incorporates a floating rate leg indexed against Libor, while a dollar versus yen cross currency swap, say, involves payments in dollar Libor and yen Libor.

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