Fallbacks
LCH cuts to the chase in SOR conversion plan
Proposal would skip interim stage in demise of Singapore’s outgoing rate
Split emerges over data requirements for term €STR
Refinitiv warns against relying on Level 2 inputs, as Emmi targets October launch
Market welcomes SOR fallback consensus
Clarification of five-year median spread adjustment is helpful, but “no magic bullet”
‘Strong case’ for US synthetic Libor in bond markets
Temporary publication under SOFR-based methodology could mop up 40% of dollar bond issues
Swap rate: cash-settled swaptions in the fallback
A fallback pricing method that reduces vanilla swaptions’ complexity is introduced
Libor/SOFR basis like ‘free money’ for early movers – GS trader
Sharp narrowing of basis swaps below fallback spreads has failed to open transition floodgates
LCH plans two-part US Libor swap conversion
CCP to ditch pre-emptive basis splitting in April and May switchover, but retains overlay swaps
Valuation and risk management of vanilla Libor swaptions in a fallback
A procedure to price vanilla European Libor swaptions derived from the SABR model is presented
Barclays, HSBC held $12trn of Libor swaps on eve of cessation
Both banks made significant progress over 2021, but more remains to be done
Canada looks beyond bankers’ acceptance market in rate reform
Banks “moving away” from antiquated lending practice that is a key input for CDOR benchmark
Japan’s Tibor swap rate faces cessation
Administrator Refinitiv could end benchmark as soon as next week following withdrawal of contributors
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
‘SOFR First’ for Eurodollars downgraded
US dollar Libor transition initiative for listed derivatives comes up short
Libor battles aren’t over, but the war is won
Transition will shift into new phase next year, leaving systemic threats behind
Bumpy ride expected as Libor reaches end of road
Heavy reliance on contractual fallbacks leaves market facing series of post-cessation risks
SOR liquidity drought complicates SGD benchmark shift
Asia Risk Congress: SMBC exec says exiting SOR trades is becoming harder as Sora liquidity surges
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
Early movers get better pricing on SOFR loans
Borrowers making the jump to SOFR before year-end are being offered more favourable spread adjustments
Dealers fear operational ‘cliff edge’ when Libor disappears
Over-reliance on fallbacks could lead to failures at year-end
Japan’s Libor-linked structured products face basis menace
Lack of readiness for compounded rates could sweep repacks onto synthetic Libor, creating swaps mismatch
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
Dealers split on role of Japan’s term rate
Isda AGM: Japanese corporates continue to eye “fragile” JPY term rate, despite concerns
Corporates remain on swaps fallback sidelines
Risk.net analysis finds just 14 out of 100 large non-financial firms have signed up to Isda fallback protocol
Isda plans second benchmark protocol by ‘end of this year’
Sequel needed to facilitate benchmark transition in countries such as India and the Philippines