SOFR
Isda plans ‘modular’ RFR conventions
Swaps definitions will be updated in response to divergent compounding styles in loan markets
CME looks to life after Eurodollars, as rivals circle
Eurodollar futures will die with Libor but there is no obvious ready-made replacement
BoE to consult on Sonia clearing mandate
Long-dated Sonia swaps set to lose clearing exemption as liquidity shifts from Libor
SOFR adoption stalls after US Libor delay
Stay of execution, RFR illiquidity and fallback reliance slow SOFR adoption
Swaps users shun cash compensation in LCH Libor switch
Members push for spread adjustment to maintain risk profiles, ignoring warnings of market bifurcation
Mutual funds slow to adopt SOFR
Regulatory filings show just 55 trades linked to the rate in the year to September 2020
SOFR swaps traded volume hit new high in January
Notional volumes surpass $222 billion
OTC infrastructure service of the year: Capitalab
Risk Awards 2021: valiant effort to solve swaptions discounting problem wins praise from clients
Funds steering clear of bets on Libor timeline after losses
Despite FCA assurances, most actively traded swap bases have not yet widened back to November levels
Shell bides time over Isda fallbacks
Oil major will adopt Isda protocol as “insurance policy” despite hedge accounting concerns
FCA sees ‘no case for delay’ on Libor cessation ruling
Synthetic Libor powers set for spring consultation as fallbacks become effective and IBA analyses cessation feedback
Bloomberg, IHS Markit join race for SOFR credit add-on
BSBY index seen as ‘easy option’ add-on for regulator-preferred RFR; Markit preps for Q2 launch
Why US dollar Libor spreads may be mispriced
Fallback spreads for all currencies could be fixed together, even if some benchmarks survive past 2021
SOFR trading surged at year end
End-2020 volume and rate spike was muted compared to previous years
Review of 2020: chaos on a roll
Vanishing liquidity, the Ronin collapse, XVAs – the pandemic wreaked havoc in risk transfer markets
Multi-curve Cheyette-style models with lower bounds on tenor basis spreads
A solution for a no-arbitrage condition in Cheyette-style models is proposed
Japan weighs benchmark options as sun sets on Libor
Dominance of risk-free rates in local swaps markets post-Libor is no foregone conclusion, dealers say
LCH plans Libor swap switch to RFRs
Proposal would see trades moved to compounded RFRs, with cash compensation paid to those who lose out
Libor Telethon playback: regulators stress ‘no new use’
Watch BoE, FCA, Fed and industry speakers tackling prickly cessation questions
US swap market may become multi-rate world, say dealers
If alternative rates gain traction in cash market, traders say users will want hedges linked to them
SOFR credit debate is “hindrance” to corporate transition
Libor Telethon 2020: NACT chair calls for clear path towards SOFR adoption before 2023 switch-off
Cross-currency swaps will use RFRs on both legs, says JP exec
Despite slow start, all-RFR swaps will become the market standard within a year, according to Tom Prickett
Fed and FCA see path to synthetic dollar Libor
Reprieve for popular dollar settings could buy time for UK-style tough legacy fix
How hedge funds lost big on US dollar Libor delay
Sharp narrowing of fallback spreads may have caused up to $2 billion of losses