Libor
New Tradeweb/IBA benchmark tipped as ‘competitor’ to SOFR
Forward-looking risk-free rate aimed at US mortgage market could have broader applications
Letting go of Libor – How banks and buy-side firms are navigating the road to transition
Libor’s demise as a trusted benchmark presents a seismic challenge to the financial services industry. As time ticks down to its planned replacement in 2021 and alternative rates and new products emerge, market participants must determine the risks to…
Stanford’s Duffie shakes up SOFR credit race with AXI index
Academics propose new credit index that ditches Libor tenors for a single funding spread
Cross-currency confusion stalks FCA announcements
Possibility of RFR fallbacks setting on different dates creating valuation issues, say banks
Slump in €STR swap volumes at LCH leaves market guessing
Market participants are counting on July 27 discounting switch to revive key euro benchmark
Singapore to end Sibor by 2024
Multi-rate approach ditched after failed efforts to enhance Sibor
Why Asia needs to talk about SOFR
Focus on local benchmark reform is “distracting” Asia’s preparations for the end of USD Libor
Asia debt market suffers SOFR inertia
Issuers of floating rate notes stick with Libor in absence of term version of risk-free rate
Term SOFR rate still possible this year, benchmark firms say
Administrators target year-end benchmark trials despite low swaps liquidity
UK’s tough legacy fix spells trouble for US Libor transition
FCA will have little control over how synthetic Libor rates are used in other jurisdictions
Libor replacement II: completing the generalised FMM
The FMM is upgraded to model the full term structure, pricing all possible bonds and the bank account
Consultation on Libor cessation expected in September
IBA must consult market before formal announcement can be made at year-end
Delivering certainty in uncertain times
TriOptima explains how it combines the reduction of gross notional exposure and the conversion of net risk exposure to deliver outsized results, partnering its portfolio compression network with core net ICE Libor over-the-counter swap portfolios
How Covid‑19 is impacting transition preparations
A forum of industry leaders, including the sponsors of this report, discusses key industry concerns around the transition away from Libor, including how the discontinuation deadline will be impacted by the Covid‑19 pandemic, the benefits and challenges…
One-quarter of Libor FRNs to mature after benchmark’s death
One-third of outstanding notes issued out of non-Libor countries
Lawmakers have to sort ‘tough legacy’ Libor products – survey
Challenges agreeing contract amendments and lack of term rates for the risk-free alternatives are also barriers to transition
Antitrust fears cloud Isda protocol – and fallback spreads
Wait for DoJ assurances could delay Libor transition plans and further unsettle rates trading
Beware of cliff edge in Libor fallbacks
Derivatives users may see a sudden change in the value of payoffs when Libor ends, Coremont analysts write
Risk-free rates may fail liquidity test for hedge accounting
Experts fear trades referencing SOFR and €STR will not be eligible for hedging relief
SOFR and credit spread – Not as simple as it seems
Chris Dias, principal and global Libor solution co-lead at KPMG, explores how the market will adjust as liquidity grows and why firms must resist the temptation to default to existing processes for determining credit spread and rethink the traditional…
Shifting Libor fallback window jolts basis market
Fallback spreads widened more than 20% after UK regulator says Libor’s end could be announced this year
Libor webinar playback: traders hope for liquidity catalysts
Panellists from JP Morgan, Morgan Stanley and Tradeweb discuss "make or break" year for transition