Interest rate swaps
Japan weighs benchmark options as sun sets on Libor
Dominance of risk-free rates in local swaps markets post-Libor is no foregone conclusion, dealers say
LCH plans Libor swap switch to RFRs
Proposal would see trades moved to compounded RFRs, with cash compensation paid to those who lose out
Mifid transparency battle pits dealers against non-banks
Dealers fight to preserve reporting exemptions, but prop traders want US-style regime
US swap market may become multi-rate world, say dealers
If alternative rates gain traction in cash market, traders say users will want hedges linked to them
SOFR credit debate is “hindrance” to corporate transition
Libor Telethon 2020: NACT chair calls for clear path towards SOFR adoption before 2023 switch-off
Fallback dodgers walking a difficult path
Firms avoiding signing the Isda protocol will face challenges, say industry figures
Managing portfolio uncertainty due to the Covid-19 pandemic
For capital market professionals, better understanding the impact of the Covid-19 pandemic on trading and investment portfolios has become even more critical. It’s no easy task to predict market movements and their impact on the profit and loss of a…
Term Sonia rivals don the same clothes
IBA mimics Refinitiv by adding Tradeweb quote data; Refinitiv denies IBA has ‘synthetic Libor’ edge
Banks explore ESG-linked deal contingents
Trend for tying derivatives to ethical criteria could soon extend to deal contingent hedges
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
Quarles’ legacy Libor contracts plan stirs confusion
Cryptic comment feeds speculation about synthetic US dollar Libor – prompting pushback from ARRC
Santander, Lloyds eye Isda fallbacks for AT1 Sonia switches
Lloyds follows Santander with last-minute revision to subordinated bond reset clauses
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
First Ameribor bond bolsters SOFR alternative
Signature Bank sets sub debt milestone for aspiring Libor replacement; swaps expected to follow
Fulcrum hangs ESG designs on honing hard numbers
ESG risks will become part of investment and risk management processes across all funds at the firm
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
SOFR basis tightens on ‘big bang’ auction disclosure
Indicative auction portfolio unveiled by LCH shows discount risk heavily skewed to liquid end of curve