Benchmark
Antitrust fears cloud Isda protocol – and fallback spreads
Wait for DoJ assurances could delay Libor transition plans and further unsettle rates trading
Beware of cliff edge in Libor fallbacks
Derivatives users may see a sudden change in the value of payoffs when Libor ends, Coremont analysts write
Risk-free rates may fail liquidity test for hedge accounting
Experts fear trades referencing SOFR and €STR will not be eligible for hedging relief
SOFR and credit spread – Not as simple as it seems
Chris Dias, principal and global Libor solution co-lead at KPMG, explores how the market will adjust as liquidity grows and why firms must resist the temptation to default to existing processes for determining credit spread and re-think the traditional…
Libor Risk Q&A – Murex
Alexandre Bon, Group co-head of Libor and benchmark reform, and head of marketing and strategy, Asia‑Pacific, at Murex, discusses key industry concerns around the transition away from Libor, including how the discontinuation deadline will be impacted by…
Shifting Libor fallback window jolts basis market
Fallback spreads widened more than 20% after UK regulator says Libor’s end could be announced this year
Libor webinar playback: traders hope for liquidity catalysts
Panellists from JP Morgan, Morgan Stanley and Tradeweb discuss "make or break" year for transition
Libor webinar playback: Schooling Latter on timing of ‘death notice’
Benchmark cessation could be announced this year, FCA official reveals – news that has moved the market
Bruised, not broken: execs say Libor switch on track despite Covid
Compressed timeline for transition may leave smaller firms struggling to meet end-2021 deadline
Sonia term rate nears ‘beta’ release, while SOFR struggles
ARRC chair says current liquidity in SOFR derivatives is insufficient to create a term rate
Lagging futures market holding back swaptions RFR transition
“Elephant in the room” is hindering non-linear growth and swap market liquidity, say rates traders
Libor death notice could be served this year – FCA
Announcement may come soon after Isda’s fallback protocol takes effect in November
Key steps in the transition to SOFR
Phil Whitehurst, head of service development, rates, SwapClear at LCH, offers his insight into when a term structure for the secured overnight financing rate (SOFR) is likely to be established, what will be required for this to become a reality and what…
Credit problem: SOFR faces uphill struggle in loan market
Furnishing Libor’s replacement with a credit-sensitive spread is proving to be a Sisyphean task
Twin-track solution for ‘tough legacy’ Libor falls flat
Critics deplore lack of detail in UK taskforce's call for parallel legal fix and synthetic rate
Libor trap lurks in 2021 US stress tests
Using SOFR, borrowing could boom and revenues collapse
Ice swap rate adds safety net with Tradeweb quotes
Inclusion of dealer-to-client prices will boost publication rate in stress periods, IBA claims
US benchmark switch splits swaptions market
Some users ignore new guidance to nominate SOFR for swap discounting
Structured products are lost in translation post-Libor
Benchmark shift would “fundamentally transform” popular rates structures, users fear
Swaptions compensation method divides market
US and European firms back redress payments, but disagree over how they would work
LCH debuts central clearing for Sora derivatives
CCP expects surge in volumes after clearing first trade linked to Singapore’s risk-free rate
SOFR phase-in for cash products sparks ‘mismatch’ fears
Official proposal for one-year transition period could lead to basis risk, participants say