Benchmark
Hong Kong banks await guidance on IRRBB for risk-free rates
HKMA will steer how historical volatility data can be used for valuing new options contracts
Industry group backs wider use of term Sonia in derivatives
Swaps used to hedge tough legacy products and some new loans could reference a forward rate
US stumbles in pursuit of term SOFR
Flaky swaps liquidity sees June 2021 target slip; CME claims indicative settings already meet international standards
Fed group: SOFR term rate unlikely in 2021
ARRC chair says use case of a forward-looking benchmark would be limited
Could private match-making sink public market?
Rise in internal hedging sparks debate over its threat to FX price discovery
Tradition to launch first SOFR order book
Streaming swap prices are a critical step to creating term rates for loan markets
Philippines weighs options for replacing swaps benchmark
Industry group identifies two alternatives but overnight rates are off the table. For now.
At 40% of EU banks, credit risk own-funds deviate from benchmarks
Eleven banks lowballed capital requirements without justification in latest exercise
Isda plans ‘modular’ RFR conventions
Swaps definitions will be updated in response to divergent compounding styles in loan markets
BoE to consult on Sonia clearing mandate
Long-dated Sonia swaps set to lose clearing exemption as liquidity shifts from Libor
From use cases to a big data benchmarking framework in clearing houses and exchanges
In this paper, we propose a conceptual framework that links the technical and business benchmarks in the domain of clearing houses and securities exchanges.
NatWest to quit US dollar Libor panel at year-end
Fifteen banks will continue submitting US dollar Libor quotes until mid-2023
Basis spreads reprice as FCA confirms Libor end-dates
Fallback adjustments for US dollar Libor swaps were not fully priced in by the market
New risk-free rate in Korea gets industry thumbs-up
Majority of 26-member benchmark panel back “credible” repo-based rate
Repo-linked renminbi floaters fail to excite investors
Muted demand dents China’s hope for repo fixing to become debt market’s benchmark of choice
ESG derivatives – From equity to fixed income, what next for this market?
The fast-evolving ESG derivatives market, how these products are helping investment strategies and expectations for market development.
Swaps users shun cash compensation in LCH Libor switch
Members push for spread adjustment to maintain risk profiles, ignoring warnings of market bifurcation
Euribor fallbacks expose loan market divisions
Consultation reveals splits over one-year transition period and internal transfer pricing models
Euribor tweaks to yield lower fix, bigger pool of usable trades
Methodology changes to raise share of Level 1 and 2 submissions and reduce reliance on Level 3
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
2021 brings big changes to the carbon market landscape
ZE PowerGroup Inc. explores how newly launched emissions trading systems, recently established task forces, upcoming initiatives and the new US President, Joe Biden, and his administration can further the drive towards tackling the climate crisis
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
Isda fallback protocol sees healthy take-up
Some hedge fund holdouts remain amid 12,000 signatories