Interest rate derivatives
Synthetic Libor powers give FCA ‘massive discretion’
Consultation on use of new benchmark clout may not limit safety-net rates to economic realities
US dollar Libor’s fate in doubt after IBA delays funeral plans
Decision to exclude US dollar Libor from cessation plan is being treated as effective extension
Mixed response to Esma’s clearing carve-out for optimisation
Long-awaited proposal must be replicated by US and UK to be effective, participants say
Bloomberg joins race for SOFR credit add-on
Benchmark provider building bolt-on adjustment from short-term bank lending data
Santander, Lloyds eye Isda fallbacks for AT1 Sonia switches
Lloyds follows Santander with last-minute revision to subordinated bond reset clauses
Botched copy: Esma delivers cut and paste pastiche of Trace
Mifid transparency mishmash misses key aspects of US system it emulates, say dealers
First Ameribor bond bolsters SOFR alternative
Signature Bank sets sub debt milestone for aspiring Libor replacement; swaps expected to follow
Euro inflation CCP basis expected as Eurex taps buy side
First crop of Eurex inflation swaps trade flat to LCH, but traders predict four-basis point difference as activity builds
CCPs mull ‘big bang’ €STR swap conversion
A co-ordinated transition of Eonia contracts is being discussed with members and end-users
‘Big bang’ sends basis swaps on roller-coaster ride
Secrecy at CME is contributing to volatility ahead of next week’s switch to SOFR discounting
DoJ gives green light to Isda protocol
Move clears path for possible late-January announcement on Libor cessation
Euribor fallback consultation set for November
ECB’s Holthausen raises concerns over inclusion of non-existent term €STR as safety net for euro contracts
Libor webinar playback: spotlight on euros
Panellists from ECB, LCH, Natixis and Societe Generale discuss struggling liquidity in €STR
ECB’s Holthausen urges market to ditch Eonia
Regulator sees risk in relying on fallbacks to effect switch to €STR – and calls on dealers to educate clients
Number of SOFR swaps traded hits new peak
Over 220 swaps struck for the first time since trading began
Malaysia Ibor trades vs SOFR in new sign of Asia transition
CIMB, Standard Chartered Malaysia strike second swap in region to use Ibor rate against US RFR
SOFR basis tightens on ‘big bang’ auction disclosure
Indicative auction portfolio unveiled by LCH shows discount risk heavily skewed to liquid end of curve
Bonds and loans clash on Sonia compounding style
Choice of ‘lag’ method for sterling RFR loan conventions bars use of BoE index
Rates and FX exchange-traded derivatives markets cooled in Q2
Interest rate options and futures turnover halved over three months to end-June
SOFR discounting: CCPs prepare for make or break auctions
Deluge of one-way risk and kinks in basis swap auctions could derail Libor transition milestone
Will the exit price be right in new Isda docs?
Industry body is updating unloved procedure for valuing terminated swaps
Interest rate derivatives house of the year: Goldman Sachs
Asia Risk Awards 2020
UK banks’ rate swaps books continued to grow in Q2
Interest rate swap exposures hit £4.42 trillion
Equity hedges bolstered Axa through Covid crisis
Economic hedges contributed €425 million to H1 income