Interest rate derivatives
Sefs stall, but more liquidity may be coming
The hoped-for competition among Sefs never was. But banks and prop traders might be facing off on swaps
Asia awaits term SOFR solution for local benchmarks
Singapore, Thailand and the Philippines look at ways to replace Libor in benchmark calculations
IBA mulls RFQ data and Sonia spinoff to bolster swap rate
Benchmark administrator consults on plan to reduce non-publication and prepare for transition to RFRs
CurveGlobal and the curious case of the lost open interest
One-third short sterling plunge in open interest on CurveGlobal may signal more capital-sensitive times
Splits emerge over ‘pre-cessation’ fallback triggers
CCPs say cleared swaps will move to new rates if Libor is no longer representative of markets
LCH plans October 2020 SOFR discounting switch
Cash and basis swaps will reverse value transfer on US dollar derivatives
Ford reaps derivatives gains following interest rates dip
Swap assets of automaker’s financial services unit hit $1.2 billion
BoE is going to curb Libor collateral. But how much?
Harshest of three ideas to shift market to Sonia would largely ban Libor collateral from its market ops
JP Morgan warming to derivatives-based term RFR rates
Risk Live: Unlike Libor, the market has a say in them. (Though they may not be real term rates, executive muses)
Dealers issue rallying cry for cross-currency benchmark reform
Risk Live: Global banks need to drive new standards for multi-rate swaps, say leading industry execs
BoE drops Libor for hedging UK forex reserves
Risk Live: Central bank adopts Sonia in Treasury swap programme, consults on restrictions for Libor collateral
Lingering Euribor may hit €STR futures prospects
Bourses question viability of euro RFR contracts as Euribor reform efforts remove transition incentives
UBS unleashes Orca for rates clients
Machine learning algo trawls liquidity pools to slash US Treasury trading costs
CFTC frees amended legacy swaps from margin net
US no-action relief for compression-triggered replacement trades spurs hope for EU alignment
Libor leaders: Prudential takes SOFR for a test drive
Test trades have allowed US insurer to start getting used to a life without Libor
A mystery: why did the NY Fed use a survey to get SOFR?
Almost a week later, still no word on why SOFR was set using a market survey instead of submissions
FCA: Sonia derivatives liquid enough to create term rates
Andrew Bailey says a forward-looking rate can work, but its use should be limited
Giancarlo bows out with regulatory deference
Move comes amid row between US and European policymakers over cross-border CCP regulation
Short-term bets push interest rate option volumes higher
Open interest in short-dated contracts surges 23% from December to March
Wrong-way risk of interest rate instruments
This paper investigates wrong-way risk effects on the pricing of counterparty credit risk for interest rate instruments.
Banks quiet on Libor legacy transition, say Asian clients
Hong Kong Electric Company and APG Asia say dealer engagement on amending products is limited
Talk of delaying IM ‘big bang’ sparks backlash
EC official's recent comments may hamper compliance preparations, dealers say
Evolution or extinction: Ice swap rate’s post-Libor quandary
Thin liquidity in SOFR swaps imperils reference rate for $40 trillion swaptions market