SOFR
CME launches term SOFR curve as clearing talks ebb
Give-and-get pricing tool addresses pressing transparency need in $2.5 trillion swaps market
Comerica takes $91m hit on BSBY discontinuation
Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
Term SOFR derivatives creep into US fund holdings
Global Atlantic shows sizeable swaps position against the new benchmark as other managers ease into trading
Review of 2023: A hard road to a soft landing
Banks and regulators were caught in the crosswinds of the fight against inflation
Europe’s half-baked benchmark switch leaves some dissatisfied
Users frustrated by narrow scope of euro transition, but replacing Euribor was never a euro group objective
Repo price spike concentrated in FICC DVP market
Soaring demand for cleared repo blamed for largest SOFR spike in four years
Morgan Stanley grows overnight and open repos as rivals retreat
Dealer adds $30 billion on its book while peers shift to longer tenors
ARRC shuts down, with some questions still unanswered
Fed-backed group calls time on Libor transition with questions over term SOFR and CSRs still swirling
Swap dealers look internally to ease SOFR basis headaches
Traders are using their own banking units as a new outlet for reducing SOFR-versus-term SOFR risk
Traders pin Sonia derivative woes on UK’s local difficulties
Market participants say BoE forecasts and mini-budget help explain RFR products’ lack of liquidity
Bloomberg consults on BSBY cessation
Credit-sensitive Libor replacement faces 12-month run-off after damning Iosco verdict
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
US regionals load up on cheap receive-fix term SOFR swaps
Major dealers are welcoming basis-risk-offset trades with “open arms”, say hedge advisers
Rising costs prompt US borrowers to embrace compounded SOFR
Sophisticated firms with term SOFR loans increasingly willing to run basis risk to cut hedging costs
Beyond Libor: the impact of SOFR on rates, bonds and loans
Dmitry Pugachevsky, director of research at Quantifi, explores how the transition from Libor to the SOFR impacts rates, bonds and loans, alongside some of the challenges that are due to arise
CSRs fight for survival after ‘damning’ Iosco verdict
Standard-setter accused of ignoring its own principles and failing to back up its conclusions
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
As Libor ends, credit-sensitive rates face day of reckoning
Iosco to issue compliance verdict on Ameribor and BSBY as transition deadline looms
Euro Axi rate proposed as Euribor fallback
New study lays groundwork for euro version of across-the-curve credit spread index
Banks mull structured notes as term SOFR basis hedge
ARRC signals opposition to passing term SOFR-SOFR basis risk to investors via structured payoffs