Libor
The outlook for 2021 – Libor
Steffan Tsilimos, head of interest rate derivatives products at Bloomberg, discusses the outlook for Libor derivatives, including how firms can best understand their exposure, the different approaches required for legacy transactions and the challenges…
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
Libor Risk – Quarterly report Q4 2020
Exactly when Libor’s regulator will sign the official death warrant for the most popular US dollar settings is now a cause of huge uncertainty. It’s also a matter of huge significance
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
Why US dollar Libor spreads may be mispriced
Fallback spreads for all currencies could be fixed together, even if some benchmarks survive past 2021
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…
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
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
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
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
Degree of influence: volatility shakes markets and quant finance
Volatility and machine learning were among the top research areas for quants this year
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
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