Risk-free rates (RFRs)
Iosco criticism dents AFX’s plans for Ameribor derivatives
SOFR alternative continues to be widely used to price regional bank loans
Dealers tackle US Libor swaptions transition
Complexity of legacy book and CCP deadlines sees banks turn to new Capitalab service
Iosco deals hammer blow to BSBY, Ameribor
Non-compliance ruling does not equate to a ban, but may strangle use by regulated firms
Refinitiv beefs up term €STR with cleared LCH swaps
Use of OIS transaction prices reflects data-sufficiency worries and euro-market desire for T+1 publication
Euro Axi rate proposed as Euribor fallback
New study lays groundwork for euro version of across-the-curve credit spread index
Hedge funds boost new Tona futures market
Arbitrageurs said to be behind early trading as contracts tipped to prove useful for US buy-siders
Regional banks face soaring term SOFR spreads
Bid/offers hit 10bp as dealers price counterparty risk into non-cleared Libor transition trades
Easing of trading curbs is no quick fix for term SOFR swaps
ARRC’s new guidelines will do little to improve liquidity, but may keep a lid on spiralling basis
Fed’s Bowman confirms interdealer term SOFR ban
Isda AGM: Further softening ruled out after April reprieve lifts curbs on term SOFR basis swaps
FRA-OIS demise leaves hole in bank treasury risk management
Banks now face ‘greater downside’ to widening credit spreads
ARRC relaxes limits on trading term SOFR derivatives
Updated usage guidelines allow hedge funds and fixed rate issuers to hedge with forward rate
Tradeweb lodges MAT application for SOFR and Sonia swaps
If accepted by the CFTC, trades referencing the benchmarks must be traded on-Sef from June 1
Funding, wealth transfer and financial stability in the post-Libor era
Adjusting RFR with a funding premium may aid economic growth and stability
Emmi seeks to ditch ‘expert judgement’ in Euribor overhaul
Q3 consultation would centralise Level 3 submissions with administrator in bid to expand panel
Strict term SOFR trading rules ‘permanent’, says Fed’s Bowman
Official says restrictions on use of term SOFR swaps “should not be expected to change”
Swaps market braces for $60 trillion Libor conversion
Staggered timeline should smooth transition, but scale of the switch still presents challenges
NY Fed paper warns of systemic risks from SOFR credit lines
Stress tests need to account for credit facilities being “drawn to the limit”, says Stanford’s Duffie
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
ECB group sounds alarm on ‘sluggish’ Euribor
Money market participants question robustness of key eurozone rate after methodology changes
Canada approves term Corra rate
CARR restricts use cases but mulls allowing interdealer hedging of derivatives on new benchmark
Libor Act leaves door open for synthetic rate in US contracts
Absence of proposed limit protects borrowers from sky-high prime rate but may irk some investors
ARRC’s trivial fight over term SOFR use
Toyota’s ABS deal should not derail effort to expand use of term rate in derivatives
SOFR remains elusive in US dollar collateral agreements
Derivatives users slow to amend CSAs amid market volatility and looming Libor deadline
FCA’s synthetic Libor plan could trigger US legal disputes
Tough legacy solution threatens to override existing fallbacks in some US law contracts