Benchmark
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
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
Market eyes emerging market CDS index expansion
Participants hope changes will help transform single-name volumes into greater index activity
Calibrating interest rate curves for a new era
Dmitry Pugachevsky, director of research at Quantifi, explores why building an accurate and robust interest rate curve has considerable implications for a broad range of financial operations – from setting benchmark rates to managing risk – and hinges on…
Bloomberg consults on BSBY cessation
Credit-sensitive Libor replacement faces 12-month run-off after damning Iosco verdict
US regionals load up on cheap receive-fix term SOFR swaps
Major dealers are welcoming basis-risk-offset trades with “open arms”, say hedge advisers
Rising costs prompt US borrowers to embrace compounded SOFR
Sophisticated firms with term SOFR loans increasingly willing to run basis risk to cut hedging costs
HKEX eyes options contracts on MSCI A-shares index
Warrant issuers could benefit from roll-out of additional hedging instruments
TMX, CanDeal set to launch risk-free Canadian term rate
Forward-looking version of Corra will take over as official loan benchmark next year
CSRs fight for survival after ‘damning’ Iosco verdict
Standard-setter accused of ignoring its own principles and failing to back up its conclusions
Sizing cyber: banks split on who owns and measures hack threats
G-Sibs split on risk modelling and management for IT disruption and infosec