Libor
LCH eyes SOR swap conversion
CCP will consult in Q1 on conversion methodology for switching SOR swaps to Sora
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor
Term SOFR loans unite on spread amid ‘fair’ price debate
First use cases price below fallback spreads, but above market levels; illiquid derivatives may hike hedging costs
US swaptions slowly ditch Libor as ‘SOFR First’ bites
Risk USA: Around half of interdealer trades adopt successor rate on day one of initiative
LCH to clear swaps linked to embattled BSBY rate
Risk USA: SOFR surge eases concerns over Bloomberg’s credit-sensitive Libor alternative
VAR model update cuts NatWest’s market RWAs by 26%
Market RWAs fell from £10.9 billion to £8 billion in Q3 following regulatory approval for a VAR update linked to Libor cessation
Expansion of ‘SOFR First’ to Eurodollars faces resistance
Non-banks may prove immune to regulatory arm-twisting in fourth wave of transition for listed markets
Early movers get better pricing on SOFR loans
Borrowers making the jump to SOFR before year-end are being offered more favourable spread adjustments
Dealers fear operational ‘cliff edge’ when Libor disappears
Over-reliance on fallbacks could lead to failures at year-end
Japan dealers hail ‘Tona First’ success
Tona overtakes Libor benchmark in yen swaps, but Tibor surge creates new basis risks
Eonia trading shuts down as CCPs make €STR switch
Dealers and venues step back from Eonia swaps after contracts become unclearable
Regulatory attacks deal BSBY swaps a crippling blow
Libor successor “dead in the water” but CME sticks with cleared swap plan
Japan’s Libor-linked structured products face basis menace
Lack of readiness for compounded rates could sweep repacks onto synthetic Libor, creating swaps mismatch
Synthetic Libor gets cautious approval as swaps fix
‘Tough legacy’ solution could mop up $2.7trn-equivalent of non-cleared sterling and yen derivatives
BSBY swap fallbacks too flimsy for BMR – FCA
Pressure piles on SOFR alternative as US, UK regulators axe their role in Isda replacement waterfall
Sonia/SOFR swaps jump ahead of ‘RFR First’ initiative
Cross-currency swaps increasingly seeing RFRs on both legs
SEC’s Gensler questions BSBY’s Iosco compliance
Bloomberg’s credit-sensitive Libor alternative draws more criticism as Iosco vows tougher scrutiny
Iosco steps up scrutiny of credit-sensitive rates
Standard setter calls for rates to prove compliance through stress scenarios to retain hallmark
Federal bill unpicks some, not all, US Libor legacy knots
Legislative effort is progressing with bipartisan support, but non-US law contracts won’t benefit
Mitsubishi to issue first FRN linked to Japan’s risk-free rate
Issuer to use a compounded in-arrears average of Tona with 10-day observation shift
Brokers may flout deadline to darken US dollar Libor screens
SOFR First step raises transparency concerns; threatens publication of Ice swap rates
Federal tough legacy fix gives nod to alternative rates
Legislation does not “disfavor” alternative rates, but safe harbour may not stretch beyond SOFR
NatWest gets VAR model approval as transition from Libor continues
The updated model is expected to reverse a £1.5bn increase in markets RWAs next quarter
Cross-currency swaps set to ditch Libor in ‘RFR first’ drive
A plan to oust Libor in September is expected to spur voluntary RFR adoption for euro legs