Benchmark
Traders see easy switch off Libor in Swiss market at year-end
Saron swaps trading still slow but traders say liquidity is rising and see no hurdles to transition
ESG derivatives – From equity to fixed income and beyond
In a Risk.net webinar convened in association with Eurex, panellists discuss the rising demand for and their own experiences of using and developing ESG derivatives, their views on future developments and the challenges of growing the market
UK funds fall out of love with sterling swaps
Lower yields, Libor transition and margin rules help make gilt repo the desired hedging tool for LDI funds
Isda preps swaps blueprint for new Bloomberg rates benchmark
Credit-sensitive SOFR add-on could be included in Isda’s interest rate definitions by mid-April
Singapore calls time on new SOR swaps from September
Report calls on market participants to end reliance on SOR in coming quarters
Dealers applaud proposal to halt yen Libor swaps after Q3
BoJ working group timetable viewed as likely to boost liquidity in nascent Tonar market
US markets fret over ‘unrepresentative’ fallbacks
Two-year gap between spread fixing and cessation leaves fallback signatories tied to outdated basis
Market dispels fears over USD Libor cross-currency swap shift
Traders confident market convention will shift to RFRs on both legs of deals
Hong Kong banks await guidance on IRRBB for risk-free rates
HKMA will steer how historical volatility data can be used for valuing new options contracts
Industry group backs wider use of term Sonia in derivatives
Swaps used to hedge tough legacy products and some new loans could reference a forward rate
US stumbles in pursuit of term SOFR
Flaky swaps liquidity sees June 2021 target slip; CME claims indicative settings already meet international standards
Fed group: SOFR term rate unlikely in 2021
ARRC chair says use case of a forward-looking benchmark would be limited
Could private match-making sink public market?
Rise in internal hedging sparks debate over its threat to FX price discovery
Tradition to launch first SOFR order book
Streaming swap prices are a critical step to creating term rates for loan markets
Philippines weighs options for replacing swaps benchmark
Industry group identifies two alternatives but overnight rates are off the table. For now.
At 40% of EU banks, credit risk own-funds deviate from benchmarks
Eleven banks lowballed capital requirements without justification in latest exercise
Isda plans ‘modular’ RFR conventions
Swaps definitions will be updated in response to divergent compounding styles in loan markets
BoE to consult on Sonia clearing mandate
Long-dated Sonia swaps set to lose clearing exemption as liquidity shifts from Libor
From use cases to a big data benchmarking framework in clearing houses and exchanges
In this paper, we propose a conceptual framework that links the technical and business benchmarks in the domain of clearing houses and securities exchanges.
NatWest to quit US dollar Libor panel at year-end
Fifteen banks will continue submitting US dollar Libor quotes until mid-2023
Basis spreads reprice as FCA confirms Libor end-dates
Fallback adjustments for US dollar Libor swaps were not fully priced in by the market
New risk-free rate in Korea gets industry thumbs-up
Majority of 26-member benchmark panel back “credible” repo-based rate
Repo-linked renminbi floaters fail to excite investors
Muted demand dents China’s hope for repo fixing to become debt market’s benchmark of choice
ESG derivatives – From equity to fixed income, what next for this market?
The fast-evolving ESG derivatives market, how these products are helping investment strategies and expectations for market development.