Benchmark
Repo clearing rule could raise SOFR volatility – OFR analysts
Analysis of 2022 data finds large divergence in tail rates but no change in median
JP Morgan QIS notionals hit $100bn
Dealer sees 15% annual growth in ‘imperfect’ notional measure, eyes rates and FX for next phase
Hong Kong dealers make Honia transition push
Standard Chartered ramps up swaps quoting for Hibor alternative; calls for industry transition group
Lenders scramble to get ahead of Italian fallback mandate
New law requiring robust fallbacks for Euribor will take effect on January 10
Acadian model detects gaps between climate goals and reality
Quant shop builds tool for net-zero alignment assessment, using NLP and Bayesian models
CME launches late term €STR bid
Exchange group becomes third provider with rate built on €135 billion of daily transactions
Snap! Derivatives reports decouple after Emir Refit shake-up
Counterparties find new rules have led to worse data quality, threatening regulators’ oversight of systemic risk
Canada benchmark shaken by T+1 hedge fund influx
Shortened settlement cycle swept hedge fund trades into Corra, making the rate more volatile
Basis swaps surge amid US repo concerns
Fed funds-versus-SOFR swap volumes nearly triple as declining Fed reserves impact funding rates