Libor
Canada’s triparty repo launch aims to fill C$60bn void
Test trades on TMX/Clearstream platform represent “quantum leap” for creaking funding markets
Euribor to ditch ‘expert judgement’ in May
Plan to infer euro funding costs from term version of €STR wins industry backing
A change of TIIE: the knotty issue of Mexico’s benchmark switch
Outlier fallback methods and narrow window to build F-TIIE derivatives liquidity make for ambitious transition plan
SOFR switch saved GSEs over $300m, study finds
Research suggests borrowers are benefitting from a systematic ‘SOFR discount’
Why Canada may need to revisit term Corra methodology
Break from US guidance benefits dealers but some futures inputs underpinning term rate are in short supply
Comerica takes $91m hit on BSBY discontinuation
Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
Philippines readies new swaps benchmark
Philippine peso rates market has been without an interest rate benchmark since June 2023
Canadian MMFs face yield squeeze on CDOR’s demise
High-yielding BA notes will disappear from the market in June with no clear replacement at hand
Polish benchmark transition hits new snag
Compounded index suspended over data errors as Wibor extension reopens successor debate
Term SOFR derivatives creep into US fund holdings
Global Atlantic shows sizeable swaps position against the new benchmark as other managers ease into trading
Europe’s half-baked benchmark switch leaves some dissatisfied
Users frustrated by narrow scope of euro transition, but replacing Euribor was never a euro group objective
Charting the course for structured credit markets in 2024
This Risk.net webinar, in collaboration with Numerix, explores the intricate world of structured credit markets in 2024. The discussion reviews the key market dynamics in 2023, and looks ahead to 2024 to observe how practitioners are handling the…
Banxico waiver prompts rethink on benchmark transition plans
Dealers weigh basis risk against longer-dated swap hedges as CME consults on new conversion plan
Euro RFR group shuts down amid ongoing benchmark uncertainty
Working group calls time on transition despite split opinion on Euribor’s long-term future
Three’s a crowd? Eurex and Ice battle CME for €STR trading
Chasing exchanges represent 75% of trading volume, 28% of open interest in first weeks of push
Bloomberg calls time on BSBY
After damning Iosco verdict, no commercial future seen for credit-sensitive rate
ARRC shuts down, with some questions still unanswered
Fed-backed group calls time on Libor transition with questions over term SOFR and CSRs still swirling
Swap dealers look internally to ease SOFR basis headaches
Traders are using their own banking units as a new outlet for reducing SOFR-versus-term SOFR risk
Emmi consults on axing ‘expert judgement’ for Euribor
Level 2.3 inputs extrapolated from term version of €STR will replace internal bank estimates
Traders pin Sonia derivative woes on UK’s local difficulties
Market participants say BoE forecasts and mini-budget help explain RFR products’ lack of liquidity
Bloomberg consults on BSBY cessation
Credit-sensitive Libor replacement faces 12-month run-off after damning Iosco verdict