Interest rate derivatives
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
FCA unfazed by ‘inflated’ sterling Libor swaps trading
Regulator says high volume of new Libor swaps traded since April 1 is linked to risk reduction
Isda plans second benchmark protocol by ‘end of this year’
Sequel needed to facilitate benchmark transition in countries such as India and the Philippines
CME unveils term SOFR in face of ARRC doubts
Exchange group says benchmark aligns with ARRC principles – but committee has pushed back endorsement plans
FCA could get legal with USD Libor laggards
Incoming powers permit regulator to ban use of benchmarks with known cessation dates – but only for UK-supervised firms
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
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
Industry group backs wider use of term Sonia in derivatives
Swaps used to hedge tough legacy products and some new loans could reference a forward rate
US stumbles in pursuit of term SOFR
Flaky swaps liquidity sees June 2021 target slip; CME claims indicative settings already meet international standards
Tradition to launch first SOFR order book
Streaming swap prices are a critical step to creating term rates for loan markets
Isda plans ‘modular’ RFR conventions
Swaps definitions will be updated in response to divergent compounding styles in loan markets
BoE to consult on Sonia clearing mandate
Long-dated Sonia swaps set to lose clearing exemption as liquidity shifts from Libor
New risk-free rate in Korea gets industry thumbs-up
Majority of 26-member benchmark panel back “credible” repo-based rate
IBA rolls out Sonia indexes for lending markets
Alternative to BoE index includes 0% floors and support for both lag and shift conventions
Non-cleared margin logjam looms after squandered delay
Fewer than half of phase five firms have submitted documentation necessary to open custody accounts
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
Swaps users shun cash compensation in LCH Libor switch
Members push for spread adjustment to maintain risk profiles, ignoring warnings of market bifurcation
Korea lifers set to increase hedging as accounting shake-up looms
Bond forwards likely to be favoured instrument, but interest rate swaps market could develop
Acadiasoft brings IM standards in-house with Quaternion buy
Deal will help data standardisation efforts and cut outsourcing risk in Simm calculation service
OTC infrastructure service of the year: Capitalab
Risk Awards 2021: valiant effort to solve swaptions discounting problem wins praise from clients
Hedging adviser of the year: Rothschild
Risk Awards 2021: restructuring effort helped Arqiva to slash its derivatives exposures by 40%
Law firm of the year: Linklaters
Risk awards 2021: lawyers raced against time to draft fallback protocol vital to Libor transition
Interest rate derivatives house of the year: Citi
Risk Awards 2021: pre-spring cleaning allowed Citi to meet client needs when Covid hit markets
Shell bides time over Isda fallbacks
Oil major will adopt Isda protocol as “insurance policy” despite hedge accounting concerns