SOFR
A second term SOFR: help or hindrance?
Ice launches CME rival as fallback for loans but market ambivalence may put endorsement out of reach
Banks face conduct risk threat as term SOFR trading grows
Trades linked to forward benchmark at risk of falling foul of strict client hedging remit, lawyers warn
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
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
Fillip for credit-sensitive rates as Axi, Critr advance
IHS Markit makes benchmarks available for live products; Invesco appointed as Axi administrator
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
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
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
Down but not out: US Libor trading continues amid ban
Outgoing rate hits market share lows in US swaps but little dent made in listed markets
Review of 2021: Default, revolt, reform
Archegos, GameStop, the last days of Libor – markets just about coped in a bleak and disorderly year
‘SOFR First’ for Eurodollars downgraded
US dollar Libor transition initiative for listed derivatives comes up short
Banks given conflicting guidance on Libor loan facilities
Some banks have been told they can continue to honour uncommitted dollar Libor lines in 2022
FCA: dealer polls pose further Libor transition hurdle
Schooling Latter warns further work needed to migrate products that require dealer quotes when Libor ceases
Bumpy ride expected as Libor reaches end of road
Heavy reliance on contractual fallbacks leaves market facing series of post-cessation risks
LCH to clear BSBY swaps from November 29
Addition of much-maligned benchmark follows methodology enhancements and jump in SOFR trading
Loan markets call for clarity on scope of US Libor ban
Regulators must address “grey areas” in uncommitted facilities, urge participants
SOR liquidity drought complicates SGD benchmark shift
Asia Risk Congress: SMBC exec says exiting SOR trades is becoming harder as Sora liquidity surges
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor
Term SOFR loans unite on spread amid ‘fair’ price debate
First use cases price below fallback spreads, but above market levels; illiquid derivatives may hike hedging costs
US swaptions slowly ditch Libor as ‘SOFR First’ bites
Risk USA: Around half of interdealer trades adopt successor rate on day one of initiative
LCH to clear swaps linked to embattled BSBY rate
Risk USA: SOFR surge eases concerns over Bloomberg’s credit-sensitive Libor alternative