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The Libor replacement stakes: runners and riders
Credit-sensitive rates Ameribor and BSBY nose ahead of Ice, Markit and AXI; regulators keep watchful eye
SEC’s Gensler takes aim at Bloomberg’s BSBY index
Credit sensitive SOFR alternative has “many of the same flaws as Libor”, regulator says
Dealers back ‘SOFR first’ in bid to jump-start new rate adoption
Term SOFR recommendation would follow “in days, not weeks” of US swaps quoting convention switch
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Quotes
19901 has never been reformed, despite all the IsdaFix stuff. Could it still be manipulated? Yes.
Interdealer broker source
You’ll find all sorts of things happening in prime risk management, from sophisticated to not
Former head of one Wall Street prime brokerage
[A one-way CSA] is not doable in the financial markets anymore – nobody would want to do a swap with you
Tom Meuwissen, general manager of the treasury at NWB Bank
Editor's Choice
Credit Suisse and the Wild West of synthetic prime brokerage
Industry insiders describe a frontier business with few rules – and plenty of questionable practices
Big Figure
Bond exodus
Liquidity in Treasuries saw a sharp deterioration on February 25, with bid/offer spreads across the whole curve tripling. Belly flies such as 2/5/10s cheapened over 17bp, seven times greater than in a typical session. This had a knock-on effect on off-the-run Treasuries. The head of rates at a US buy-side firm says one popularly traded deep off-the-run 30-year bond that regularly trades two ticks wide blew out to 12-13 ticks wide on February 25.
Read the full articleDerivatives
SEC’s Gensler takes aim at Bloomberg’s BSBY index
Credit sensitive SOFR alternative has “many of the same flaws as Libor”, regulator says
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