Interest rate swaps
Banks explore ESG-linked deal contingents
Trend for tying derivatives to ethical criteria could soon extend to deal contingent hedges
Synthetic Libor powers give FCA ‘massive discretion’
Consultation on use of new benchmark clout may not limit safety-net rates to economic realities
US dollar Libor’s fate in doubt after IBA delays funeral plans
Decision to exclude US dollar Libor from cessation plan is being treated as effective extension
Mixed response to Esma’s clearing carve-out for optimisation
Long-awaited proposal must be replicated by US and UK to be effective, participants say
Quarles’ legacy Libor contracts plan stirs confusion
Cryptic comment feeds speculation about synthetic US dollar Libor – prompting pushback from ARRC
Santander, Lloyds eye Isda fallbacks for AT1 Sonia switches
Lloyds follows Santander with last-minute revision to subordinated bond reset clauses
Quants tout alternative carry trades for the ‘new normal’
Low rates and flatlining yield curves leave investors seeking carry in swaps and swaptions
First Ameribor bond bolsters SOFR alternative
Signature Bank sets sub debt milestone for aspiring Libor replacement; swaps expected to follow
Fulcrum hangs ESG designs on honing hard numbers
ESG risks will become part of investment and risk management processes across all funds at the firm
CCPs mull ‘big bang’ €STR swap conversion
A co-ordinated transition of Eonia contracts is being discussed with members and end-users
‘Big bang’ sends basis swaps on roller-coaster ride
Secrecy at CME is contributing to volatility ahead of next week’s switch to SOFR discounting
DoJ gives green light to Isda protocol
Move clears path for possible late-January announcement on Libor cessation
Euribor fallback consultation set for November
ECB’s Holthausen raises concerns over inclusion of non-existent term €STR as safety net for euro contracts
Libor webinar playback: spotlight on euros
Panellists from ECB, LCH, Natixis and Societe Generale discuss struggling liquidity in €STR
ECB’s Holthausen urges market to ditch Eonia
Regulator sees risk in relying on fallbacks to effect switch to €STR – and calls on dealers to educate clients
SOFR basis tightens on ‘big bang’ auction disclosure
Indicative auction portfolio unveiled by LCH shows discount risk heavily skewed to liquid end of curve
Bonds and loans clash on Sonia compounding style
Choice of ‘lag’ method for sterling RFR loan conventions bars use of BoE index
SOFR discounting: CCPs prepare for make or break auctions
Deluge of one-way risk and kinks in basis swap auctions could derail Libor transition milestone
UK banks’ rate swaps books continued to grow in Q2
Interest rate swap exposures hit £4.42 trillion
Benchmark reform goes non-linear
Terminating Libor will bring great challenges to the pricing of non-linear rate products
Rival SOFR conventions splinter loan market
Diverging approaches to calculating interest payments sow uncertainty and hedging concerns
Alternative markets give edge to Florin Court strategy
By concentrating on exotic and alternative markets, Florin Court Capital Fund has sidestepped overcrowding and correlation to the main trend following commodity trading advisers, offering investors a diversified alternative to the standard systemic macro…
Negative Euribor-Eonia spread tipped to persist
Supply and demand dynamics in unsecured market set to continue, pushing Euribor lower
Mega-hedges and generational strife at PGGM
Buy-side risk survey: for Dutch pension giant, battle between young and old shaped response to March mayhem