Basis swaps
Rising costs prompt US borrowers to embrace compounded SOFR
Sophisticated firms with term SOFR loans increasingly willing to run basis risk to cut hedging costs
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
LCH plans two-part US Libor swap conversion
CCP to ditch pre-emptive basis splitting in April and May switchover, but retains overlay swaps
Libor basis swaps jump amid rates uncertainty
Trading in the one-month, three-month basis highlights the market’s preference for Libor
Regulatory attacks deal BSBY swaps a crippling blow
Libor successor “dead in the water” but CME sticks with cleared swap plan
Clock auctions: a stitch in time for Libor?
MIT professor says Nobel-inspired mechanism could cut basis risk and ease $74trn Libor shift
Singapore calls time on new SOR swaps from September
Report calls on market participants to end reliance on SOR in coming quarters
Funds steering clear of bets on Libor timeline after losses
Despite FCA assurances, most actively traded swap bases have not yet widened back to November levels
How hedge funds lost big on US dollar Libor delay
Sharp narrowing of fallback spreads may have caused up to $2 billion of losses
SOFR trading tails off after ‘big bang’ boost
Volumes peak, then slow down on CCPs’ shift to new RFR, but remain above 2020 averages
Santander, Lloyds eye Isda fallbacks for AT1 Sonia switches
Lloyds follows Santander with last-minute revision to subordinated bond reset clauses
CCP discount switch drives record SOFR swap volumes
Historic move off fed funds discounting leads to trading surge
‘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
Accounting rules snare insurers in SOFR discounting switch
Re-couponing swaps to reduce discount risk could have adverse accounting consequences for insurers
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
SOFR basis blows out amid CCP discounting changes
Rate cuts may have exacerbated discount risk as basis swap opt-outs move deeply in-the-money
Sonia swaps surge not mirrored by futures
Popularity of short sterling futures takes shine off Sonia’s RFR succession
SOFR discounting – Analysing the market impact
The switch to secured overnight financing rate (SOFR) discounting brings several complex issues and is impacting market practices. Ping Sun, senior vice‑president of financial engineering at Numerix, discusses the key issues, such as the differences…
Sonia-Libor basis narrows after fallback verdict
Isda picks five-year median for spread adjustment, causing benchmark gap to tighten
Opening the buy-side liquidity pool
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
Hong Kong eyes SOFR solution for term fixing
New ‘proxy’ Honia could help change discount rate from Hibor to OIS for local swaps, says HKEX