Risk-free rates (RFRs)
The curious case of backward short rates
A discretisation approach for both backward- and forward-looking interest rate derivatives is proposed
Term SOFR gets cautious blessing for derivatives
ARRC use cases for forward RFR could accelerate derivatives’ availability, though dealers must warehouse basis risk
No mandate, no problem: SOFR swaps embrace clearing
Almost 70% of RFR derivatives cleared and half traded over Sefs in voluntary adoption of post-crisis norms
Euro RFR group calls for statutory Eonia fix
Legal designation for €STR as replacement rate would avert “confusion” in €9trn of legacy contracts
New Isda definitions pave way for bespoke swaps clearing
Pick-and-mix grid of floating rate options will make it easier to clear post-Libor bond hedges
A BMR-shaped hole in the US Libor transition
US could benefit from copying EU Benchmarks Regulation as market moves to shaky Libor successors
Fractured Libor transition halts US structured rates switch
Issuance of non-Libor caps and floors dries up as lending markets mull array of credit-sensitive SOFR rivals
Confusion reigns as US prepares for Libor’s end
Mixed messages from US regulators make it more difficult to plan for life after Libor
Pick a rate: pitfalls and prizes in the post-Libor world
SOFR set to win big in replacing Libor, but trillions could scatter across alternatives
Time to end debate on SOFR alternatives, participants warn
Doubt over future of five credit-sensitive Libor replacements may be hindering late-stage Libor transition
Ice pips Refinitiv to synthetic Libor prize
FCA selects IBA term Sonia for sterling tough legacy fix; Torf chosen for three yen settings
SOFR alternatives remain on track despite regulatory warnings
Pointed criticism from FSOC has done little to dampen interest in credit-sensitive rates
Dealers back ‘SOFR first’ in bid to jump-start new rate adoption
Term SOFR recommendation would follow “in days, not weeks” of US swaps quoting convention switch
ARRC eyes July ‘SOFR first’ switch
Adoption of RFR for swaps quoting conventions should pave the way for term SOFR endorsement
Markit launches credit-sensitive SOFR alternatives
Crits can be used as add-on to SOFR, while Critr will be a standalone benchmark
The arcsine law for quantile derivatives
A new pricing model for quantile-based derivatives, such as Napoleon options, is presented
Clock auctions: a stitch in time for Libor?
MIT professor says Nobel-inspired mechanism could cut basis risk and ease $74trn Libor shift
BoE’s post-Libor clearing plan leaves yen swaps in limbo
Sonia and €STR will be mandated for clearing, while Tonar must wait until liquidity settles
Libor transition nears its end – Five topics you need to know
As the deadline to Libor cessation approaches, Liang Wu, executive director of financial engineering and head of cross-asset product management at Numerix, presents a series of market themes that warrant closer inspection
CDS market prepares to join Libor transition
Ice and LCH will switch to new rates for margin interest; Isda to follow in standard model update
CME wins term SOFR race
Fed-backed working group puts term rate back on track, but low volumes keep endorsement on hold
Sterling swaptions edge towards Sonia ahead of July deadline
Risk-free successor jumps to almost half non-linear activity, up from 20% in April
Dealers split on role of Japan’s term rate
Isda AGM: Japanese corporates continue to eye “fragile” JPY term rate, despite concerns
Accurate RFR hedges face liquidity trade-off, participants say
Isda AGM: Aligning swaps with assorted cash market conventions requires users to weigh liquidity cost