Benchmark
Banks mull structured notes as term SOFR basis hedge
ARRC signals opposition to passing term SOFR-SOFR basis risk to investors via structured payoffs
Long-end euro swap pricing anomaly remains largely untapped
Deviation in swap curve attracts limited interest because of regulatory and pension reform barriers
Regional banks face soaring term SOFR spreads
Bid/offers hit 10bp as dealers price counterparty risk into non-cleared Libor transition trades
Easing of trading curbs is no quick fix for term SOFR swaps
ARRC’s new guidelines will do little to improve liquidity, but may keep a lid on spiralling basis
Fed’s Bowman confirms interdealer term SOFR ban
Isda AGM: Further softening ruled out after April reprieve lifts curbs on term SOFR basis swaps
FRA-OIS demise leaves hole in bank treasury risk management
Banks now face ‘greater downside’ to widening credit spreads
Tradeweb lodges MAT application for SOFR and Sonia swaps
If accepted by the CFTC, trades referencing the benchmarks must be traded on-Sef from June 1
Emmi seeks to ditch ‘expert judgement’ in Euribor overhaul
Q3 consultation would centralise Level 3 submissions with administrator in bid to expand panel
Is Euribor on borrowed time, or here for the duration?
As €STR gains traction, traders are still hedging their bets on a euro benchmark transition
Strict term SOFR trading rules ‘permanent’, says Fed’s Bowman
Official says restrictions on use of term SOFR swaps “should not be expected to change”
Refinitiv’s FXall launches automated forward fixing tool
New service offers asset managers automatic competitive pricing for a benchmark trade’s forward points
Term SOFR trading ban remains as easing talks collapse
Fed working group resolute on interdealer trading restrictions despite looming capacity crunch
Swaps market braces for $60 trillion Libor conversion
Staggered timeline should smooth transition, but scale of the switch still presents challenges
Foreign banks set to boost onshore Korean won trading
Plans for longer trading hours and more open interbank FX market will stoke KRW hedging demand
NY Fed paper warns of systemic risks from SOFR credit lines
Stress tests need to account for credit facilities being “drawn to the limit”, says Stanford’s Duffie
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
Data shines light on Tibor fragility
Lack of actual transactions in D-Tibor should be considered in fallback discussions
ECB group sounds alarm on ‘sluggish’ Euribor
Money market participants question robustness of key eurozone rate after methodology changes
Canada approves term Corra rate
CARR restricts use cases but mulls allowing interdealer hedging of derivatives on new benchmark
Libor Act leaves door open for synthetic rate in US contracts
Absence of proposed limit protects borrowers from sky-high prime rate but may irk some investors
S&P Indices versus Active (SPIVA): institutional scorecard
How well do actively managed equity funds stack up against their index benchmarks over short- and long-term periods?
ARRC’s trivial fight over term SOFR use
Toyota’s ABS deal should not derail effort to expand use of term rate in derivatives
SOFR remains elusive in US dollar collateral agreements
Derivatives users slow to amend CSAs amid market volatility and looming Libor deadline
Handful of EU banks reap benefits from domestic exposure carve-out
BNP Paribas, ING Bank and UniCredit account for more than three-fourths of G-Sib score savings from favourable intra-EU risk calculation