Benchmark
NY Fed paper warns of systemic risks from SOFR credit lines
Stress tests need to account for credit facilities being “drawn to the limit”, says Stanford’s Duffie
CMS pricing: overdue annuities
An RFR-based pricing and risk management model for CMS and its derivatives is presented
Data shines light on Tibor fragility
Lack of actual transactions in D-Tibor should be considered in fallback discussions
ECB group sounds alarm on ‘sluggish’ Euribor
Money market participants question robustness of key eurozone rate after methodology changes
Canada approves term Corra rate
CARR restricts use cases but mulls allowing interdealer hedging of derivatives on new benchmark
Libor Act leaves door open for synthetic rate in US contracts
Absence of proposed limit protects borrowers from sky-high prime rate but may irk some investors
S&P Indices versus Active (SPIVA): institutional scorecard
How well do actively managed equity funds stack up against their index benchmarks over short- and long-term periods?
ARRC’s trivial fight over term SOFR use
Toyota’s ABS deal should not derail effort to expand use of term rate in derivatives
SOFR remains elusive in US dollar collateral agreements
Derivatives users slow to amend CSAs amid market volatility and looming Libor deadline
Handful of EU banks reap benefits from domestic exposure carve-out
BNP Paribas, ING Bank and UniCredit account for more than three-fourths of G-Sib score savings from favourable intra-EU risk calculation
FCA’s synthetic Libor plan could trigger US legal disputes
Tough legacy solution threatens to override existing fallbacks in some US law contracts
Global banks’ systemic footprint grew at record pace in 2021
Every indicator up on previous year, only the second time in G-Sib assessment history
Eurozone G-Sib waiver cuts BNP Paribas a break
New carve-out of intra-bloc exposures prompts drop in French bank’s surcharge
Cross-border risk dominates 2022 G-Sib scores
Overseas lending and borrowing largest contributor to scores of banks in Canada, EU, Japan, Singapore, Switzerland and UK
FCA proposes using CME’s term SOFR for synthetic US Libor
IBA agrees to use rival’s ARRC-endorsed benchmark to avoid bifurcating the market
World Omni ditched term SOFR tranche in latest ABS
Toyota deal drew ARRC’s ire, but some bankers still see a case for using term SOFR in auto ABS
Spat over Toyota deal stalls vote on easing term SOFR curbs
ARRC concerned by use of forward rate in securitisations, stands firm on swaps restrictions
New risk indicator shifts EU’s G-Sib score heatmap
Revision in substitutability category inflates mid-sized banks’ score, lowers G-Sibs’
ABN Amro has EU’s biggest trading volume, new indicator shows
Bank’s activity in secondary market is 2.4 times Deutsche Bank’s
Islamic mutual funds: contracts, structures, screening and pricing mechanisms
The authors investigate the contracts, structures, screening, pricing mechanisms of Islamic Mutual Funds and attempt to harmonize and standardize the benchmarks of these funds
Raiffeisen to rejoin Euribor panel, reversing exodus
Austrian bank’s return as benchmark contributor could be “turning point” for interbank rate, says administrator
Sluggish SOFR lending keeps CLO basis contained
Slow credit markets keep risk in check for CLO equity holders
House of the year, Singapore: OCBC
Asia Risk Awards 2022
SOFR swap basis could pose ‘systemic risk’
Trading curbs must be loosened to prevent tripling of unhedgeable basis risk, says senior banker