/SWAPS: And TD analysts said on.............>

US TSYS: /SWAPS: And TD analysts said on transition from LIBOR that "the

"transition to SOFR will require liquidity in (US) swaps that reference the

index as well as basis swaps between SOFR, Libor and OIS. The largest

complication for the transition will be an estimated $160tn of legacy contracts

referencing USD Libor."

- They said that "the key question is whether to amend contracts or to change

the definition of Libor itself? And we think the former might be easier to

implement. ISDA fallback triggers and protocols will be key. The industry is

currently mulling the benefits and drawbacks of a constant spread between SOFR

and Libor based on historical averages or an auction process. Over the next few

years we expect some of the receiving interest in longer-dated swaps to migrate

to OIS. This should steepen the Libor-FF basis curve over time and we hold

2s/10s Libor-FF steepeners in our model portfolio."