Libor
Libor is ending, and corporates need to know their options
Banks must speak to Main Street now if US Libor transition is to succeed, argue ARRC working group leaders
A BMR-shaped hole in the US Libor transition
US could benefit from copying EU Benchmarks Regulation as market moves to shaky Libor successors
Fractured Libor transition halts US structured rates switch
Issuance of non-Libor caps and floors dries up as lending markets mull array of credit-sensitive SOFR rivals
Confusion reigns as US prepares for Libor’s end
Mixed messages from US regulators make it more difficult to plan for life after Libor
Pick a rate: pitfalls and prizes in the post-Libor world
SOFR set to win big in replacing Libor, but trillions could scatter across alternatives
Time to end debate on SOFR alternatives, participants warn
Doubt over future of five credit-sensitive Libor replacements may be hindering late-stage Libor transition
Ice pips Refinitiv to synthetic Libor prize
FCA selects IBA term Sonia for sterling tough legacy fix; Torf chosen for three yen settings
SOFR alternatives remain on track despite regulatory warnings
Pointed criticism from FSOC has done little to dampen interest in credit-sensitive rates
SEC’s Gensler takes aim at Bloomberg’s BSBY index
Credit sensitive SOFR alternative has “many of the same flaws as Libor”, regulator says
The Libor replacement stakes: runners and riders
Credit-sensitive rates Ameribor and BSBY nose ahead of Ice, Markit and AXI; regulators keep watchful eye
Dealers back ‘SOFR first’ in bid to jump-start new rate adoption
Term SOFR recommendation would follow “in days, not weeks” of US swaps quoting convention switch
Libor Risk – Quarterly report Q2 2021
The countdown to Libor's demise is officially under way. If a recent jump in Libor usage is anything to go by, regulators face a Herculean task prising dollar markets off the discredited rate by year-end. The mission is complicated by huge swathes of the…
Page 19901: the benchmark that time forgot
CFTC probe into swap price rigging revives the ghosts of Libor manipulation
ARRC eyes July ‘SOFR first’ switch
Adoption of RFR for swaps quoting conventions should pave the way for term SOFR endorsement
Podcast: Piterbarg on medians and machine learning
How the Libor transition inspired NatWest quant’s latest paper on exotic derivatives valuation
Options to mitigate the challenges of index cessation fallbacks and conversion
This has so far been a defining year for index cessation, Isda’s fallbacks protocol and central counterparty conversions. TriOptima insists that now is the time for firms to get their interest rate swap portfolios in order before year-end
Markit launches credit-sensitive SOFR alternatives
Crits can be used as add-on to SOFR, while Critr will be a standalone benchmark
The arcsine law for quantile derivatives
A new pricing model for quantile-based derivatives, such as Napoleon options, is presented
Clock auctions: a stitch in time for Libor?
MIT professor says Nobel-inspired mechanism could cut basis risk and ease $74trn Libor shift
BoE’s post-Libor clearing plan leaves yen swaps in limbo
Sonia and €STR will be mandated for clearing, while Tonar must wait until liquidity settles
CDS market prepares to join Libor transition
Ice and LCH will switch to new rates for margin interest; Isda to follow in standard model update
CME wins term SOFR race
Fed-backed working group puts term rate back on track, but low volumes keep endorsement on hold
Dealers split on role of Japan’s term rate
Isda AGM: Japanese corporates continue to eye “fragile” JPY term rate, despite concerns
Prudential, Goldman cast doubt on Libor-like replacement rates
Isda AGM: Participants split on case for credit-sensitive rates in post-Libor world