Libor
Libor-in-arrears swaps face unwinds on benchmark death
Backward-looking fallbacks are incompatible with the product, which relies on forward rates
SOFR swap surge points to Q2 repo hedging
Strategists say 27 swaps traded last week with July 3 expiries likely to be quarter-end US repo rate hedges
Australia central bank: repo collateral will require fallbacks
Isda AGM: Debt instruments will need the provisions to be eligible for Reserve Bank of Australia repo programme
MetLife executes $250 million SOFR-linked repo
Isda AGM: US insurer's hedging chief says systems issues hindering its use of derivatives, however
LCH discounting switch tipped to help SOFR swap market
Isda AGM: Using SOFR discounting for Libor swaps will help build liquidity, say market participants
Traders back SOFR derivatives as repo hedge
Isda AGM: Market participants say products linked to the rate could mitigate quarter-end spikes
US Treasury won’t issue SOFR notes until at least 2020
Project Titan will delay issuance of floating rate Treasury notes linked to new reference rate
FSB says fallbacks should kick in if Libor no longer accurate
Isda plans to consult on what to do if a benchmark is no longer representative of underlying markets
Fed repo facility may fix SOFR’s image problem
‘Overnight standing repo facility’ could stop year-end rate spikes, and extend Fed’s reach
Dealers consider ditching FRAs prior to Libor’s death
Forward rate agreements won’t work with backward-looking rates; banks explore single period swaps instead
Libor fallbacks a low priority for most bond investors
However some securities shunned due to perceived weak legal safeguards
SOFR tipped to hit 300bp at quarter-end
US repo rate set for 25% spike thanks to French bank “window dressing” and US Treasury issuance
Jumbo SOFR swaps herald new world of repo betting
Swaps traders told to “learn repo market dynamics” as market catches glimpse of new trading strategy
Podcast: Mercurio and Henrard on the impact of Libor reform
Some derivatives products will become more complex if there are no forward rates, say quants
Differing European approaches may hamper Ibor transition
While sterling shifts to Sonia, efforts to save Euribor create euro multi-rate uncertainty
FRAs won't work with standard Libor fallback, experts say
Payments on $84 trillion market rely on forward rates but industry’s chosen fallback is backward looking
Drop margin on swaps leaving Libor, Basel says
Joined by Iosco, Basel says moves to Libor successors should not be saddled with margin requirements
Singapore looks to synthetic Libor for new benchmark calculation
The way Singapore’s swap rate is calculated must change if Libor disappears after 2021
Shallow liquidity threatens Saron momentum
Swaps on Swiss Libor successor gain traction, but lack of cash products poses liquidity hurdle
Volume ‘non-existent’, but SOFR backers are upbeat
ARRC members say despite appearances, SOFR is ahead of schedule and liquidity will come
Swaps market heading for Libor fallbacks clash
Euro market goes own way on question of how to replace term Ibors with overnight RFRs
First SOFR term rate coming in 2020
Staff at the New York Fed are working on a series of backward-looking averages
A rush on Libor fallbacks to head off holdouts
Concerns that valuation changes will scare some off adoption may be accelerating Isda timeline
LCH plans 2020 switch to SOFR discounting
Users opt for one-step switch to new US dollar regime, as long as CCP cooks up compensation scheme