SOFR
Repo clearing rule could raise SOFR volatility – OFR analysts
Analysis of 2022 data finds large divergence in tail rates but no change in median
Clearing bottlenecks blamed for muted volumes at FMX
Regulatory hurdles and market conditions have also hampered CME rival since its September launch
ARRC replacement aims to dodge rates ruckus
Fed’s new reference rate committee wants to avoid reigniting battles about term and credit-sensitive rates
Another post-Libor rate aims to clear Iosco bar
After two rivals were slapped down by the benchmark overseer last year, will Axi fare differently?
CME launches term SOFR curve as clearing talks ebb
Give-and-get pricing tool addresses pressing transparency need in $2.5 trillion swaps market
Georgios Skoufis on RFRs, convexity adjustments and Sabr
Bloomberg quant discusses his new approach for calculating convexity adjustments for RFR swaps
A change of TIIE: the knotty issue of Mexico’s benchmark switch
Outlier fallback methods and narrow window to build F-TIIE derivatives liquidity make for ambitious transition plan
SOFR switch saved GSEs over $300m, study finds
Research suggests borrowers are benefitting from a systematic ‘SOFR discount’
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