Fallbacks
Lenders scramble to get ahead of Italian fallback mandate
New law requiring robust fallbacks for Euribor will take effect on January 10
Polish benchmark transition hits new snag
Compounded index suspended over data errors as Wibor extension reopens successor debate
Banxico waiver prompts rethink on benchmark transition plans
Dealers weigh basis risk against longer-dated swap hedges as CME consults on new conversion plan
Euro RFR group shuts down amid ongoing benchmark uncertainty
Working group calls time on transition despite split opinion on Euribor’s long-term future
Refinitiv beefs up term €STR with cleared LCH swaps
Use of OIS transaction prices reflects data-sufficiency worries and euro-market desire for T+1 publication
Euro Axi rate proposed as Euribor fallback
New study lays groundwork for euro version of across-the-curve credit spread index
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
Data shines light on Tibor fragility
Lack of actual transactions in D-Tibor should be considered in fallback discussions
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
FCA’s synthetic Libor plan could trigger US legal disputes
Tough legacy solution threatens to override existing fallbacks in some US law contracts
FCA proposes using CME’s term SOFR for synthetic US Libor
IBA agrees to use rival’s ARRC-endorsed benchmark to avoid bifurcating the market
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