International Swaps and Derivatives Association (Isda)
Libor transition nears its end – Five topics you need to know
As the deadline to Libor cessation approaches, Liang Wu, executive director of financial engineering and head of cross-asset product management at Numerix, presents a series of market themes that warrant closer inspection
CDS market prepares to join Libor transition
Ice and LCH will switch to new rates for margin interest; Isda to follow in standard model update
Delays to IM model approvals causing ‘anxiety’ for MetLife
Isda AGM: US insurer says regulators unprepared to accept docs where model approval is obligatory
Prudential, Goldman cast doubt on Libor-like replacement rates
Isda AGM: Participants split on case for credit-sensitive rates in post-Libor world
Accurate RFR hedges face liquidity trade-off, participants say
Isda AGM: Aligning swaps with assorted cash market conventions requires users to weigh liquidity cost
Corporates remain on swaps fallback sidelines
Risk.net analysis finds just 14 out of 100 large non-financial firms have signed up to Isda fallback protocol
Isda plans second benchmark protocol by ‘end of this year’
Sequel needed to facilitate benchmark transition in countries such as India and the Philippines
Simm template to be expanded for SA-CCR and FRTB
Crif-plus will capture risk exposures for all instruments, boosting optimisation potential
Isda poised to issue India netting opinion
Dealers say ability to apply close-out netting for capital calculations will boost derivatives market
Isda preps swaps blueprint for new Bloomberg rates benchmark
Credit-sensitive SOFR add-on could be included in Isda’s interest rate definitions by mid-April
Dealers applaud proposal to halt yen Libor swaps after Q3
BoJ working group timetable viewed as likely to boost liquidity in nascent Tonar market
Market dispels fears over USD Libor cross-currency swap shift
Traders confident market convention will shift to RFRs on both legs of deals
Japan debuts swaptions linked to risk-free rate
Sparse liquidity in Tonar swaps may put premium on swaption pricing, dealers warn
Fed group: SOFR term rate unlikely in 2021
ARRC chair says use case of a forward-looking benchmark would be limited
EU’s initial margin relief may come too late for phase five
Long-awaited easing of model governance requirements unlikely to take effect by September
Isda plans ‘modular’ RFR conventions
Swaps definitions will be updated in response to divergent compounding styles in loan markets
Utility is success? Row brews over futures post-trade workflows
Industry confronts competing models and hard questions in search of better allocations workflow
Basis spreads reprice as FCA confirms Libor end-dates
Fallback adjustments for US dollar Libor swaps were not fully priced in by the market
New risk-free rate in Korea gets industry thumbs-up
Majority of 26-member benchmark panel back “credible” repo-based rate
Credit derivatives traded volume up 15% in 2020
Week ending March 1 was the most active in dollar-denominated swaps
SOFR swaps traded volume hit new high in January
Notional volumes surpass $222 billion
Law firm of the year: Linklaters
Risk awards 2021: Lawyers raced against time to draft fallback protocol vital to Libor transition
Final NSFR rule unlocks subsidiary funding for US banks
Technical clarification allows subsidiary capital to be assigned as funding for consolidated group
Cherry-picking fears as banks pull negative rates commitments
As UK mulls negative rates, banks desert Isda protocol and traders warn of gaming the system