VIEW: Goldman Sachs note that "the UK's.......>

LIBOR: VIEW: Goldman Sachs note that "the UK's Financial Conduct Authority (FCA)

advised that announcements about the discontinuation of Libor settings beyond

2021, when banks are no longer compelled to submit quotes, could come "as early

as November or December this year". While this is not yet definitive, and

follows earlier announcements by both the FCA and the Financial Stability Board

(FSB) reaffirming YE 2021 as the target date for Libor transition, it raises the

possibility that an announcement that Libor could become non-representative or

be discontinued at a future date could occur earlier than expected. ISDA has

established protocol such that the fallback spread adjustment would be

calculated upon such a formal announcement, rather than when it becomes

effective. Our calculations based on the fallback methodology imply higher

spreads than that being priced by markets-5y5y 1s3s basis, for example, remains

below a range of values we think likely and about 4bp below the modal case. An

earlier official announcement by the FCA could start to see these bases further

converge toward levels consistent with fallback spread adjustment levels in

advance of YE21."