SOFR
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
Review of 2022: Fighting on all fronts
Macro headlines unleashed micro-horrors, as margins soared, correlations cracked and crypto markets imploded
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
CLO equity investors stung by Libor basis
Growing mismatch between one- and three-month tenors slashes payouts by a third
FCA proposes using CME’s term SOFR for synthetic US Libor
IBA agrees to use rival’s ARRC-endorsed benchmark to avoid bifurcating the market
World Omni ditched term SOFR tranche in latest ABS
Toyota deal drew ARRC’s ire, but some bankers still see a case for using term SOFR in auto ABS
Spat over Toyota deal stalls vote on easing term SOFR curbs
ARRC concerned by use of forward rate in securitisations, stands firm on swaps restrictions
Battle lines drawn as exchanges launch €STR futures
CME is betting its three-month contracts will give it an edge over Ice’s one-month version
Sluggish SOFR lending keeps CLO basis contained
Slow credit markets keep risk in check for CLO equity holders
SOFR swap basis could pose ‘systemic risk’
Trading curbs must be loosened to prevent tripling of unhedgeable basis risk, says senior banker
Lag in the SOFR-linked non-linear derivatives market: three barriers to transition
Risk.net explores three themes in SOFR non-linear derivatives discussed by experts in a webinar sponsored by Numerix
CME preps April Eurodollar conversion
US exchange selects April 14, 2023 to flip open interest in heavily traded Libor contracts to SOFR
LCH cuts to the chase in SOR conversion plan
Proposal would skip interim stage in demise of Singapore’s outgoing rate
Podcast: the remaining challenges for Libor transition
Rates quant says swaptions fallbacks turn cash-settled vanilla products into exotics
Canada term rate plan sparks ‘inverted pyramid’ debate
Some dealers push back on forward-looking Corra proposal amid low derivatives liquidity
Why a US fund manager added $4.8bn of Libor swaptions in Q1
Columbia Threadneedle’s eyebrow-raising trades were part of an effort to clean up legacy hedges
‘Strong case’ for US synthetic Libor in bond markets
Temporary publication under SOFR-based methodology could mop up 40% of dollar bond issues
ARRC reconvenes task force to evaluate term SOFR curbs
Concerns over one-sided market for term SOFR swaps prompts review of ‘scope of use’ guidelines
Swaptions transition snags trigger term SOFR calls
Liquidity flips to RFR but laggards struggle with behavioural quirks for contracts referencing overnight rates
The final stretch: outstanding issues in non-linear RFR derivatives
Six months on from Libor’s cessation, cash and derivatives markets have adapted quickly to the new multi-rate world. In the US, where selected US dollar Libor tenors will remain in place until mid-2023, SOFR is firmly established as the preferred…
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