Libor
US markets fret over ‘unrepresentative’ fallbacks
Two-year gap between spread fixing and cessation leaves fallback signatories tied to outdated basis
Market dispels fears over USD Libor cross-currency swap shift
Traders confident market convention will shift to RFRs on both legs of deals
Hong Kong banks await guidance on IRRBB for risk-free rates
HKMA will steer how historical volatility data can be used for valuing new options contracts
Industry group backs wider use of term Sonia in derivatives
Swaps used to hedge tough legacy products and some new loans could reference a forward rate
Japan debuts swaptions linked to risk-free rate
Sparse liquidity in Tonar swaps may put premium on swaption pricing, dealers warn
US stumbles in pursuit of term SOFR
Flaky swaps liquidity sees June 2021 target slip; CME claims indicative settings already meet international standards
Fed group: SOFR term rate unlikely in 2021
ARRC chair says use case of a forward-looking benchmark would be limited
Tradition to launch first SOFR order book
Streaming swap prices are a critical step to creating term rates for loan markets
Philippines weighs options for replacing swaps benchmark
Industry group identifies two alternatives but overnight rates are off the table. For now.
Isda plans ‘modular’ RFR conventions
Swaps definitions will be updated in response to divergent compounding styles in loan markets
CME looks to life after Eurodollars, as rivals circle
Eurodollar futures will die with Libor but there is no obvious ready-made replacement
BoE to consult on Sonia clearing mandate
Long-dated Sonia swaps set to lose clearing exemption as liquidity shifts from Libor
NatWest to quit US dollar Libor panel at year-end
Fifteen banks will continue submitting US dollar Libor quotes until mid-2023
Basis spreads reprice as FCA confirms Libor end-dates
Fallback adjustments for US dollar Libor swaps were not fully priced in by the market
New risk-free rate in Korea gets industry thumbs-up
Majority of 26-member benchmark panel back “credible” repo-based rate
IBA rolls out Sonia indexes for lending markets
Alternative to BoE index includes 0% floors and support for both lag and shift conventions
Repo-linked renminbi floaters fail to excite investors
Muted demand dents China’s hope for repo fixing to become debt market’s benchmark of choice
SOFR adoption stalls after US Libor delay
Stay of execution, RFR illiquidity and fallback reliance slow SOFR adoption
Swaps users shun cash compensation in LCH Libor switch
Members push for spread adjustment to maintain risk profiles, ignoring warnings of market bifurcation
Euribor fallbacks expose loan market divisions
Consultation reveals splits over one-year transition period and internal transfer pricing models
SABR smiles for RFR caplets
The SABR model for volatility is adapted to price risk-free rate caplets
Libor to Sonia – If not now, when?
At the end of this year, Libor will cease to exist. It is no longer about getting ready – it's about being ready. If we think of Libor as an 'approaching storm', the potential for disruption is great. If you heard a large storm coming, would you wait…
Mutual funds slow to adopt SOFR
Regulatory filings show just 55 trades linked to the rate in the year to September 2020
SOFR swaps traded volume hit new high in January
Notional volumes surpass $222 billion