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Latest on Derivatives
Term Sonia rivals don the same clothes
IBA mimics Refinitiv by adding Tradeweb quote data; Refinitiv denies IBA has ‘synthetic Libor’ edge
US banks cede to SOFR lending as credit hopes fade
Critics of risk-free rate say dynamic spread will be too late for transition
Banks explore ESG-linked deal contingents
Trend for tying derivatives to ethical criteria could soon extend to deal contingent hedges
Latest
Quotes
You cannot have TRY/JPY butterflies that low with TRY/USD flies that high, it didn’t make any sense at all
London-based FX options trader
The problem is the MTF rules are crafted quite generally, and I think there can be some ambiguity
Steven Burrows, senior associate at law firm Fieldfisher
What the IASB indicated in that October Libor paper isn’t what we’ve done in practice today at all
Jessica Taurae, partner at PwC
Editor's Choice
The buy side and Libor: it’s decision time
Investors weigh pros and cons of signing newly released Isda fallback protocol, as Libor demise looms
Big Figure
Soaring spreads
As funding stresses grew in mid-March, investors liquidated bond holdings in a dash for cash. As a result, asset swap spreads jumped significantly. For instance, the asset swap spread on JP Morgan’s 4.62% bond maturing in May 2021 jumped from 14.37bp on January 17 to a peak of 607bp on March 20, before ending the quarter at 123bp
Read the full article7 days in 60 seconds
Fallbacks, Libor and the cultural risks of lockdown
The week on Risk.net, November 14-20, 2020
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Comment
Swaps data: initial margin soars in Q1 2020
Beware of cliff edge in Libor fallbacks
Our Take
Warrants proving a big opportunity for Asia private banks
Time to rethink Korean structured products