Libor
CME to reinforce term SOFR with swap inputs
Inclusion would leapfrog a 25% OTC liquidity threshold embedded in methodology
LCH plans two-part US Libor swap conversion
CCP to ditch pre-emptive basis splitting in April and May switchover, but retains overlay swaps
A second term SOFR: help or hindrance?
Ice launches CME rival as fallback for loans but market ambivalence may put endorsement out of reach
Regional banks lead charge into term SOFR
Forward rate is favoured by smaller lenders and is increasingly used in caps and floors
Term SOFR restrictions spark valuation debate
Ban on interdealer trading leaves dealers divided over accounting treatment of in-demand contracts
Russian invasion stirs up ‘perfect storm’ for XVA desks
Declining credit quality of Russian companies and spike in inflation threaten CVA and FVA double-whammy for banks
Valuation and risk management of vanilla Libor swaptions in a fallback
A procedure to price vanilla European Libor swaptions derived from the SABR model is presented
Lloyds’ IMA RWAs up 43% in run-up to Ibor switch
VAR multiplier and RNIV charges rose in 2021 on account of transition risk
US funds edge towards SOFR adoption
Counterparty Radar: A fifth of swap notional held in Q4 references the RFR but funds still lean on USD Libor
Barclays, HSBC held $12trn of Libor swaps on eve of cessation
Both banks made significant progress over 2021, but more remains to be done
Legacy Libor swaptions face day of reckoning
Holders of physically settled swaptions in sterling and yen must switch to new risk-free rates, but it’s not simple
Fillip for credit-sensitive rates as Axi, Critr advance
IHS Markit makes benchmarks available for live products; Invesco appointed as Axi administrator
Technology vendor of the year: Bloomberg
Risk Awards 2022: Data giant delivered risk analytics, while playing key role in Libor transition
Exchange of the year: Intercontinental Exchange
Risk Awards 2022: Amid Brexit and benchmark transition, Ice fulfils Abu Dhabi exchange ambition
Lifetime achievement award: Mark Carney
Risk Awards 2022: The calm at the eye of the storm of post-crisis regulation and climate risk management
SOFR swaps surge past $1 trillion weekly
OIS make up the majority of SOFR-referencing swaps
Banks rely on clients to police US Libor ban
Dealers say it’s “impossible” to verify end-user compliance with narrow Libor exceptions trade by trade
Canada looks beyond bankers’ acceptance market in rate reform
Banks “moving away” from antiquated lending practice that is a key input for CDOR benchmark
US dollar Libor transition: a new countdown in motion
With almost all Libor settings discontinued at the end of 2021, Philip Whitehurst, head of service development, rates at LCH, addresses what’s ahead for the final US dollar Libor transition to risk-free rates, what has and hasn’t been achieved so far,…
CCPs to review conversion blueprint ahead of SOFR switch
Rising rates vol expected to push US transition to the wire, but process likely to follow previous runs
Japan’s Tibor swap rate faces cessation
Administrator Refinitiv could end benchmark as soon as next week following withdrawal of contributors
Libor’s death propels SOFR swaps market
Trading in the risk-free rate jumped to a weekly high and long-dated swaps activity grew
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Looking ahead to the post-Libor landscape
Libor’s days are coming to an end, so what does the future hold? A Risk.net expert panel discusses the original dream of a multi-benchmark world, and whether it is still alive