Libor
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
Battle lines drawn as exchanges launch €STR futures
CME is betting its three-month contracts will give it an edge over Ice’s one-month version
Raiffeisen to rejoin Euribor panel, reversing exodus
Austrian bank’s return as benchmark contributor could be “turning point” for interbank rate, says administrator
RMB house of the year: Standard Chartered
Asia Risk Awards 2022
Sluggish SOFR lending keeps CLO basis contained
Slow credit markets keep risk in check for CLO equity holders
Best structured product support system: Murex
Asia Risk Awards 2022
Libor solution of the year: Adenza
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
CME preps April Eurodollar conversion
US exchange selects April 14, 2023 to flip open interest in heavily traded Libor contracts to SOFR
LCH cuts to the chase in SOR conversion plan
Proposal would skip interim stage in demise of Singapore’s outgoing rate
Split emerges over data requirements for term €STR
Refinitiv warns against relying on Level 2 inputs, as Emmi targets October launch
Podcast: the remaining challenges for Libor transition
Rates quant says swaptions fallbacks turn cash-settled vanilla products into exotics
Canada term rate plan sparks ‘inverted pyramid’ debate
Some dealers push back on forward-looking Corra proposal amid low derivatives liquidity
‘Strong case’ for US synthetic Libor in bond markets
Temporary publication under SOFR-based methodology could mop up 40% of dollar bond issues
ARRC reconvenes task force to evaluate term SOFR curbs
Concerns over one-sided market for term SOFR swaps prompts review of ‘scope of use’ guidelines
Swaptions transition snags trigger term SOFR calls
Liquidity flips to RFR but laggards struggle with behavioural quirks for contracts referencing overnight rates
Swap rate: cash-settled swaptions in the fallback
A fallback pricing method that reduces vanilla swaptions’ complexity is introduced
Libor/SOFR basis like ‘free money’ for early movers – GS trader
Sharp narrowing of basis swaps below fallback spreads has failed to open transition floodgates
EC official signals ‘preference’ for synthetic US Libor fix
UK regulator has resisted calls for a synthetic fallback for legacy dollar contracts
Calls grow to ease restrictions on term SOFR derivatives
Ban on interdealer trading is raising costs for end-users transitioning from Libor, banks say
JSCC swap surge triggers plea to rethink US client ban
With over two-thirds of yen RFR swaps volumes going to JSCC, calls grow for CFTC to ease clearing restrictions
Cross-currency’s €STR switch may hasten Euribor demise
Rising cost of issuer cross-currency hedges could spur greater adoption of euro risk-free rate