Libor
Swap rate: cash-settled swaptions in the fallback
A fallback pricing method that reduces vanilla swaptions’ complexity is introduced
Libor/SOFR basis like ‘free money’ for early movers – GS trader
Sharp narrowing of basis swaps below fallback spreads has failed to open transition floodgates
EC official signals ‘preference’ for synthetic US Libor fix
UK regulator has resisted calls for a synthetic fallback for legacy dollar contracts
Calls grow to ease restrictions on term SOFR derivatives
Ban on interdealer trading is raising costs for end-users transitioning from Libor, banks say
JSCC swap surge triggers plea to rethink US client ban
With over two-thirds of yen RFR swaps volumes going to JSCC, calls grow for CFTC to ease clearing restrictions
Cross-currency’s €STR switch may hasten Euribor demise
Rising cost of issuer cross-currency hedges could spur greater adoption of euro risk-free rate
CME to reinforce term SOFR with swap inputs
Inclusion would leapfrog a 25% OTC liquidity threshold embedded in methodology
LCH plans two-part US Libor swap conversion
CCP to ditch pre-emptive basis splitting in April and May switchover, but retains overlay swaps
A second term SOFR: help or hindrance?
Ice launches CME rival as fallback for loans but market ambivalence may put endorsement out of reach
Regional banks lead charge into term SOFR
Forward rate is favoured by smaller lenders and is increasingly used in caps and floors
Term SOFR restrictions spark valuation debate
Ban on interdealer trading leaves dealers divided over accounting treatment of in-demand contracts
Russian invasion stirs up ‘perfect storm’ for XVA desks
Declining credit quality of Russian companies and spike in inflation threaten CVA and FVA double-whammy for banks
Valuation and risk management of vanilla Libor swaptions in a fallback
A procedure to price vanilla European Libor swaptions derived from the SABR model is presented
Lloyds’ IMA RWAs up 43% in run-up to Ibor switch
VAR multiplier and RNIV charges rose in 2021 on account of transition risk
US funds edge towards SOFR adoption
Counterparty Radar: A fifth of swap notional held in Q4 references the RFR but funds still lean on USD Libor
Barclays, HSBC held $12trn of Libor swaps on eve of cessation
Both banks made significant progress over 2021, but more remains to be done
Legacy Libor swaptions face day of reckoning
Holders of physically settled swaptions in sterling and yen must switch to new risk-free rates, but it’s not simple
Fillip for credit-sensitive rates as Axi, Critr advance
IHS Markit makes benchmarks available for live products; Invesco appointed as Axi administrator
Technology vendor of the year: Bloomberg
Risk Awards 2022: Data giant delivered risk analytics, while playing key role in Libor transition
Exchange of the year: Intercontinental Exchange
Risk Awards 2022: Amid Brexit and benchmark transition, Ice fulfils Abu Dhabi exchange ambition
Lifetime achievement award: Mark Carney
Risk Awards 2022: The calm at the eye of the storm of post-crisis regulation and climate risk management
SOFR swaps surge past $1 trillion weekly
OIS make up the majority of SOFR-referencing swaps
Banks rely on clients to police US Libor ban
Dealers say it’s “impossible” to verify end-user compliance with narrow Libor exceptions trade by trade
Canada looks beyond bankers’ acceptance market in rate reform
Banks “moving away” from antiquated lending practice that is a key input for CDOR benchmark