Libor
A mystery: why did the NY Fed use a survey to get SOFR?
Almost a week later, still no word on why SOFR was set using a market survey instead of submissions
FCA: Sonia derivatives liquid enough to create term rates
Andrew Bailey says a forward-looking rate can work, but its use should be limited
Sonia advances: liquidity builds as banks eye interdealer shift
Libor’s successor has some solid footholds. Wider acceptance could come as soon as later this year
New tools needed for bespoke SOFR trades – Wells Fargo
US bank’s Libor transition head wants ‘simple’ way to calculate compound rates for any given period
Banks quiet on Libor legacy transition, say Asian clients
Hong Kong Electric Company and APG Asia say dealer engagement on amending products is limited
Evolution or extinction: Ice swap rate’s post-Libor quandary
Thin liquidity in SOFR swaps imperils reference rate for $40 trillion swaptions market
Buy side bemoans gaps in EU benchmark register
Missing detail in approved index list could undermine compliance with new benchmarks regulation, investors warn
How leading firms are preparing for the shift from Libor
Driven by declining liquidity in the unsecured interbank lending market, firms face a significant amount of planning in the lead up to 2021. Engrained in the very fabric of financial service providers, there is a warranted degree of uncertainty and…
LCH basis swap templates may aid Libor conversion
Compression providers say new templates will make risk replacement trades more efficient
Prep now for one-day lag in Eonia, market told
Overnight batch calculations will have to run during the day, following change to doomed benchmark
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