Benchmark
Dealers fear operational ‘cliff edge’ when Libor disappears
Over-reliance on fallbacks could lead to failures at year-end
Japan dealers hail ‘Tona First’ success
Tona overtakes Libor benchmark in yen swaps, but Tibor surge creates new basis risks
No fair: buy side takes on pricing problem in FX forwards
Interest in TCA is growing as new data sources offer glimpse into murky swaps and forwards market
Eonia trading shuts down as CCPs make €STR switch
Dealers and venues step back from Eonia swaps after contracts become unclearable
Regulatory attacks deal BSBY swaps a crippling blow
Libor successor “dead in the water” but CME sticks with cleared swap plan
Japan’s Libor-linked structured products face basis menace
Lack of readiness for compounded rates could sweep repacks onto synthetic Libor, creating swaps mismatch
Synthetic Libor gets cautious approval as swaps fix
‘Tough legacy’ solution could mop up $2.7trn-equivalent of non-cleared sterling and yen derivatives
BSBY swap fallbacks too flimsy for BMR – FCA
Pressure piles on SOFR alternative as US, UK regulators axe their role in Isda replacement waterfall
SEC’s Gensler questions BSBY’s Iosco compliance
Bloomberg’s credit-sensitive Libor alternative draws more criticism as Iosco vows tougher scrutiny
Iosco steps up scrutiny of credit-sensitive rates
Standard setter calls for rates to prove compliance through stress scenarios to retain hallmark
Federal bill unpicks some, not all, US Libor legacy knots
Legislative effort is progressing with bipartisan support, but non-US law contracts won’t benefit
Mitsubishi to issue first FRN linked to Japan’s risk-free rate
Issuer to use a compounded in-arrears average of Tona with 10-day observation shift
Federal tough legacy fix gives nod to alternative rates
Legislation does not “disfavor” alternative rates, but safe harbour may not stretch beyond SOFR
NatWest gets VAR model approval as transition from Libor continues
The updated model is expected to reverse a £1.5bn increase in markets RWAs next quarter
Cross-currency swaps set to ditch Libor in ‘RFR first’ drive
A plan to oust Libor in September is expected to spur voluntary RFR adoption for euro legs
Mixed signals as swap dealers begin quoting ‘SOFR first’
Swaps referencing Libor successor revert to year averages after initial spike on conventions switch
Swaptions get fallback safety net, but crave CCP fix
Isda’s Ice swap rate fallbacks calm fears, yet CCP action needed to protect physical settlement
The curious case of backward short rates
A discretisation approach for both backward- and forward-looking interest rate derivatives is proposed
Term SOFR gets cautious blessing for derivatives
ARRC use cases for forward RFR could accelerate derivatives' availability, though dealers must warehouse basis risk
Euro RFR group calls for statutory Eonia fix
Legal designation for €STR as replacement rate would avert “confusion” in €9trn of legacy contracts
New Isda definitions pave way for bespoke swaps clearing
Pick-and-mix grid of floating rate options will make it easier to clear post-Libor bond hedges
Libor is ending, and corporates need to know their options
Banks must speak to Main Street now if US Libor transition is to succeed, argue ARRC working group leaders
A BMR-shaped hole in the US Libor transition
US could benefit from copying EU Benchmarks Regulation as market moves to shaky Libor successors
Fractured Libor transition halts US structured rates switch
Issuance of non-Libor caps and floors dries up as lending markets mull array of credit-sensitive SOFR rivals