Iosco criticism dents AFX’s plans for Ameribor derivatives
SOFR alternative continues to be widely used to price regional bank loans
A regulatory crackdown on credit-sensitive Libor replacements has side-tracked ambitious plans by the new owners of the American Financial Exchange (AFX) to expand the use of Ameribor in over-the-counter derivatives, but the bourse’s chief executive says the benchmark can survive as a lending rate for regional banks even without a rubber stamp from supervisors.
Ameribor – a measure of US regional bank funding rates published by the AFX – was one of two credit-sensitive rates (CSRs) deemed to
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
Hedge funds flock to US swap spreads on SLR easing talk
‘Trade of the year’ sees investors position for shrinking negative basis as Treasuries predicted to outperform swaps
China programme trading rules to buoy futures market
Futures firms could adjust strategies to avoid HFT classification under new framework
Positive M&A outlook could boost deal contingent hedges
Traders predict hedging activity linked to deal completions will take off this year
QIS 3.0 ‘bonanza’: hedge funds pivot from options to swaps
Pod-level scramble for max-loss exposure gives way to central risk books seeking overlays
Shaking things up: geopolitics and the euro credit risk measure
Gravitational model offers novel way of assessing national and regional risks in new world order
Eurex squashes butterflies with Stir incentives
Rebate caps on low-risk strategies flatten mid-curve bulge in €STR contracts
The relativity of the fractional Gamma Clock
Bank of America quant expands his Gamma Clock model with a fractional Brownian motion
Volatility selling is down, but not out
Shrinking risk premiums could end cycle of vol suppression, traders say – but not just yet
