Fallbacks
Down but not out: US Libor trading continues amid ban
Outgoing rate hits market share lows in US swaps but little dent made in listed markets
‘SOFR First’ for Eurodollars downgraded
US dollar Libor transition initiative for listed derivatives comes up short
Libor battles aren’t over, but the war is won
Transition will shift into new phase next year, leaving systemic threats behind
Bumpy ride expected as Libor reaches end of road
Heavy reliance on contractual fallbacks leaves market facing series of post-cessation risks
SOR liquidity drought complicates SGD benchmark shift
Asia Risk Congress: SMBC exec says exiting SOR trades is becoming harder as Sora liquidity surges
Term SOFR loans unite on spread amid ‘fair’ price debate
First use cases price below fallback spreads, but above market levels; illiquid derivatives may hike hedging costs
Early movers get better pricing on SOFR loans
Borrowers making the jump to SOFR before year-end are being offered more favourable spread adjustments
Dealers fear operational ‘cliff edge’ when Libor disappears
Over-reliance on fallbacks could lead to failures at year-end
Japan’s Libor-linked structured products face basis menace
Lack of readiness for compounded rates could sweep repacks onto synthetic Libor, creating swaps mismatch
Federal bill unpicks some, not all, US Libor legacy knots
Legislative effort is progressing with bipartisan support, but non-US law contracts won’t benefit
Dealers split on role of Japan’s term rate
Isda AGM: Japanese corporates continue to eye “fragile” JPY term rate, despite concerns
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
Botched fallbacks leave CLOs facing early Libor switch
Nearly two-thirds of CRE securitisations issued since 2019 have already triggered fallback clauses
US federal legislation ‘eliminates’ need for synthetic Libor
‘Tough legacy’ proposal will be discussed at a House Financial Services subcommittee meeting on April 15
Traders see easy switch off Libor in Swiss market at year-end
Saron swaps trading still slow but traders say liquidity is rising and see no hurdles to transition
Singapore calls time on new SOR swaps from September
Report calls on market participants to end reliance on SOR in coming quarters
US markets fret over ‘unrepresentative’ fallbacks
Two-year gap between spread fixing and cessation leaves fallback signatories tied to outdated basis
Japan debuts swaptions linked to risk-free rate
Sparse liquidity in Tonar swaps may put premium on swaption pricing, dealers warn
US stumbles in pursuit of term SOFR
Flaky swaps liquidity sees June 2021 target slip; CME claims indicative settings already meet international standards
Basis spreads reprice as FCA confirms Libor end-dates
Fallback adjustments for US dollar Libor swaps were not fully priced in by the market
SOFR adoption stalls after US Libor delay
Stay of execution, RFR illiquidity and fallback reliance slow SOFR adoption
Swaps users shun cash compensation in LCH Libor switch
Members push for spread adjustment to maintain risk profiles, ignoring warnings of market bifurcation
Euribor fallbacks expose loan market divisions
Consultation reveals splits over one-year transition period and internal transfer pricing models