Benchmark
Libor’s death propels SOFR swaps market
Trading in the risk-free rate jumped to a weekly high and long-dated swaps activity grew
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Smaller US banks make case for credit-sensitive rates
BSBY and Ameribor emerge as preferred Libor successors for some regional lenders in multi-rate approach
Down but not out: US Libor trading continues amid ban
Outgoing rate hits market share lows in US swaps but little dent made in listed markets
Evergrande stress boosts fledgling China CDS indexes
Interest surges in products seen as better gauges of credit risk for embattled property sector
Europe swap dealers eye London return post-Brexit
Proposed Mifid exemption paves way for BNP Paribas, SocGen and Deutsche to trade swaps on UK venues
Banks plan first yen Libor bond transitions
SG and Crédit Agricole Tona switches expected to be first bonds that ditch outgoing Japanese rate
Libor battles aren’t over, but the war is won
Transition will shift into new phase next year, leaving systemic threats behind
Banks given conflicting guidance on Libor loan facilities
Some banks have been told they can continue to honour uncommitted dollar Libor lines in 2022
FCA: dealer polls pose further Libor transition hurdle
Schooling Latter warns further work needed to migrate products that require dealer quotes when Libor ceases
CCPs’ successful Libor switch raises hopes for sterling move
Optimism follows hitch-free conversion of cleared yen, Swiss franc and euro Libor swaps to RFRs
Bumpy ride expected as Libor reaches end of road
Heavy reliance on contractual fallbacks leaves market facing series of post-cessation risks
Dealers warm to SOFR swaptions but buy side lags
Rate accounted for nearly half of new notional last week, but operational issues slow end-user uptake
LCH to clear BSBY swaps from November 29
Addition of much-maligned benchmark follows methodology enhancements and jump in SOFR trading
Loan markets call for clarity on scope of US Libor ban
Regulators must address “grey areas” in uncommitted facilities, urge participants
Assessing climate risk in bond portfolios
Running climate stress tests on bond portfolios is a nascent exercise for many asset managers. MSCI looks at what to consider when optimising bond portfolios for climate exposures
SOR liquidity drought complicates SGD benchmark shift
Asia Risk Congress: SMBC exec says exiting SOR trades is becoming harder as Sora liquidity surges
In over their heads? How greenwashing overwhelms regulators
Difficult to identify and difficult to prove: asset managers doubt regulators’ ability to crack down
EU’s new carbon-scoring metric bedevils investors
Buy-side risk survey 2021: Evic could have harmful consequences for green investing
Multi-horizon forecasting for limit order books
A multi-step path is forecast using deep learning and parallel computing
LCH eyes SOR swap conversion
CCP will consult in Q1 on conversion methodology for switching SOR swaps to Sora
Term SOFR loans unite on spread amid ‘fair’ price debate
First use cases price below fallback spreads, but above market levels; illiquid derivatives may hike hedging costs
LCH to clear swaps linked to embattled BSBY rate
Risk USA: SOFR surge eases concerns over Bloomberg’s credit-sensitive Libor alternative
Expansion of ‘SOFR First’ to Eurodollars faces resistance
Non-banks may prove immune to regulatory arm-twisting in fourth wave of transition for listed markets