Risk-free rates (RFRs)
Valuation and risk management of vanilla Libor swaptions in a fallback
A procedure to price vanilla European Libor swaptions derived from the SABR model is presented
Lloyds’ IMA RWAs up 43% in run-up to Ibor switch
VAR multiplier and RNIV charges rose in 2021 on account of transition risk
Barclays, HSBC held $12trn of Libor swaps on eve of cessation
Both banks made significant progress over 2021, but more remains to be done
Fillip for credit-sensitive rates as Axi, Critr advance
IHS Markit makes benchmarks available for live products; Invesco appointed as Axi administrator
Exchange of the year: Intercontinental Exchange
Risk Awards 2022: Amid Brexit and benchmark transition, Ice fulfils Abu Dhabi exchange ambition
SOFR swaps surge past $1 trillion weekly
OIS make up the majority of SOFR-referencing swaps
Banks rely on clients to police US Libor ban
Dealers say it’s “impossible” to verify end-user compliance with narrow Libor exceptions trade by trade
US dollar Libor transition: a new countdown in motion
With almost all Libor settings discontinued at the end of 2021, Philip Whitehurst, head of service development, rates at LCH, addresses what’s ahead for the final US dollar Libor transition to risk-free rates, what has and hasn’t been achieved so far,…
CCPs to review conversion blueprint ahead of SOFR switch
Rising rates vol expected to push US transition to the wire, but process likely to follow previous runs
Libor’s death propels SOFR swaps market
Trading in the risk-free rate jumped to a weekly high and long-dated swaps activity grew
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Looking ahead to the post-Libor landscape
Libor’s days are coming to an end, so what does the future hold? A Risk.net expert panel discusses the original dream of a multi-benchmark world, and whether it is still alive
Sustainable finance, Ibor transition and China bond investment take centre stage
Sustainable finance, moving to risk-free rates, and the further liberalisation of China’s capital markets will all remain a focus for Crédit Agricole CIB in Asia-Pacific
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
Review of 2021: Default, revolt, reform
Archegos, GameStop, the last days of Libor – markets just about coped in a bleak and disorderly year
‘SOFR First’ for Eurodollars downgraded
US dollar Libor transition initiative for listed derivatives comes up short
Europe swap dealers eye London return post-Brexit
Proposed Mifid exemption paves way for BNP Paribas, SocGen and Deutsche to trade swaps on UK venues
Banks plan first yen Libor bond transitions
SG and Crédit Agricole Tona switches expected to be first bonds that ditch outgoing Japanese rate
Banks given conflicting guidance on Libor loan facilities
Some banks have been told they can continue to honour uncommitted dollar Libor lines in 2022
CCPs’ successful Libor switch raises hopes for sterling move
Optimism follows hitch-free conversion of cleared yen, Swiss franc and euro Libor swaps to RFRs
Bumpy ride expected as Libor reaches end of road
Heavy reliance on contractual fallbacks leaves market facing series of post-cessation risks
LCH to clear BSBY swaps from November 29
Addition of much-maligned benchmark follows methodology enhancements and jump in SOFR trading
Loan markets call for clarity on scope of US Libor ban
Regulators must address “grey areas” in uncommitted facilities, urge participants
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor