Benchmark
Legacy benchmark risk – A robust and effective conversion mechanism
With an uncertain future for interest rate benchmarks, TriOptima has developed its triReduce Benchmark Conversion functionality, providing support to customers transitioning their over-the-counter swaps portfolios to these alternative benchmarks
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
IBA, Refinitiv go live with regulated term Sonia rates
First deals linked to new benchmarks are likely to be in trade finance
US Fed facility bought Libor bonds with ‘weak’ fallbacks
Industry surprise over purchase of floaters linked to doomed benchmark
Approaching the endgame – What’s left for completing Libor transition?
Philip Whitehurst, head of service development, rates at LCH, discusses the International Swaps and Derivatives Association’s 2020 Ibor fallbacks protocol, its relevance for cleared swaps, remaining transition steps and major developments to look out for…
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
Fears EU’s ‘tough legacy’ fix could tie risk managers’ hands
Proposal bans use of replacement rate in new products, which some fear could hamper hedging and novations
EU benchmark drama set for cliffhanger end
Access to key FX rates due to be decided six months before potential cut-off
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
Slow €STR swap take-up threatens term rate fallbacks
Esma’s Maijoor calls for greater use of new benchmark to help develop forward-looking rates
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
Fallback dodgers walking a difficult path
Firms avoiding signing the Isda protocol will face challenges, say industry figures
Fed and FCA see path to synthetic dollar Libor
Reprieve for popular dollar settings could buy time for UK-style tough legacy fix
Dollar Libor reprieve sparks fallback uncertainty
Popular settings to end in June 2023; market seeks clarity over timing of fallback spread triggers
€STR transition stymied by addiction to Eonia – ECB
Notional outstanding OIS referencing outgoing rate has increased year-to-date
Term Sonia rivals don the same clothes
IBA mimics Refinitiv by adding Tradeweb quote data; Refinitiv denies IBA has ‘synthetic Libor’ edge
US banks cede to SOFR lending as credit hopes fade
Critics of risk-free rate say dynamic spread will be too late for transition
Synthetic Libor powers give FCA ‘massive discretion’
Consultation on use of new benchmark clout may not limit safety-net rates to economic realities
US dollar Libor’s fate in doubt after IBA delays funeral plans
Decision to exclude US dollar Libor from cessation plan is being treated as effective extension
Quarles’ legacy Libor contracts plan stirs confusion
Cryptic comment feeds speculation about synthetic US dollar Libor – prompting pushback from ARRC
How low can you go: falling cost of FX fix sparks concern
Algorithms reducing fixing fees, but some dealers willing to go even lower – perhaps dangerously so
The buy side and Libor: it’s decision time
Investors weigh pros and cons of signing newly released Isda fallback protocol, as Libor demise looms