Overnight index swaps
Accurate RFR hedges face liquidity trade-off, participants say
Isda AGM: Aligning swaps with assorted cash market conventions requires users to weigh liquidity cost
CME unveils term SOFR in face of ARRC doubts
Exchange group says benchmark aligns with ARRC principles – but committee has pushed back endorsement plans
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
New risk-free rate in Korea gets industry thumbs-up
Majority of 26-member benchmark panel back “credible” repo-based rate
Swaps users shun cash compensation in LCH Libor switch
Members push for spread adjustment to maintain risk profiles, ignoring warnings of market bifurcation
SABR smiles for RFR caplets
The SABR model for volatility is adapted to price risk-free rate caplets
Japan weighs benchmark options as sun sets on Libor
Dominance of risk-free rates in local swaps markets post-Libor is no foregone conclusion, dealers say
€STR transition stymied by addiction to Eonia – ECB
Notional outstanding OIS referencing outgoing rate has increased year-to-date
Term Sonia rivals don the same clothes
IBA mimics Refinitiv by adding Tradeweb quote data; Refinitiv denies IBA has ‘synthetic Libor’ edge
CCP discount switch drives record SOFR swap volumes
Historic move off fed funds discounting leads to trading surge
CCPs mull ‘big bang’ €STR swap conversion
A co-ordinated transition of Eonia contracts is being discussed with members and end-users
The Libor transition – Let’s talk about SOFR
Time is ticking to Libor’s planned decommission date of December 31, 2021. Firms need to move quickly to execute their transition strategies, and having unique insight into certain key issues can aid decision-making. Numerix’s Ping Sun discusses…
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
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
Race to cash in on term Sonia is filled with twists
Pending merger and FCA’s effort to create synthetic Libor rates could sway outcome
Slump in €STR swap volumes at LCH leaves market guessing
Market participants are counting on July 27 discounting switch to revive key euro benchmark
LCH debuts central clearing for Sora derivatives
CCP expects surge in volumes after clearing first trade linked to Singapore’s risk-free rate
Sonia term rate contenders tested by market mayhem
Regulator-proposed quote approach falters as dealers pull swap prices from screens
Swaps data: how the market responded to Covid-19
Swap rates saw massive moves as volumes peaked, writes Amir Khwaja of ClarusFT