Interest rate swaps
CME’s term SOFR rate gets the official nod
Endorsement comes just three days after ‘SOFR first’ drive, cementing availability in fallbacks
Capturing the effects of climate change on CVA and FVA
A framework to incorporate climate change risk into derivative prices is presented
Swaptions get fallback safety net, but crave CCP fix
Isda’s Ice swap rate fallbacks calm fears, yet CCP action needed to protect physical settlement
Term SOFR gets cautious blessing for derivatives
ARRC use cases for forward RFR could accelerate derivatives’ availability, though dealers must warehouse basis risk
UK aims to beat EU in Mifid swaps reporting stakes
UK follows up proposed EU solution to confusion over post-trade transparency with its own fix
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
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
Turning challenges into solutions
With margin requirements a potential drain on financial resources, delivering healthy returns while meeting regulatory obligations is paramount. To help participants optimise more of their risk, Varqa Abyaneh, chief product officer, Quantile, discusses…
SOFR alternatives remain on track despite regulatory warnings
Pointed criticism from FSOC has done little to dampen interest in credit-sensitive rates
UK banks interest rate swap exposures fall £711bn
Credit derivatives exposures bucked the downward trend, growing 16% quarter on quarter
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
Risk Live playback: Citi’s Andrew Morton on rates markets
Citi’s co-head of markets tips EU bonds to rival USTs, and backs batch auctions as alternative to Clobs
Page 19901: the benchmark that time forgot
CFTC probe into swap price rigging revives the ghosts of Libor manipulation
ARRC eyes July ‘SOFR first’ switch
Adoption of RFR for swaps quoting conventions should pave the way for term SOFR endorsement
Options to mitigate the challenges of index cessation fallbacks and conversion
This has so far been a defining year for index cessation, Isda’s fallbacks protocol and central counterparty conversions. TriOptima insists that now is the time for firms to get their interest rate swap portfolios in order before year-end
Markit launches credit-sensitive SOFR alternatives
Crits can be used as add-on to SOFR, while Critr will be a standalone benchmark
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
Dealers split on role of Japan’s term rate
Isda AGM: Japanese corporates continue to eye “fragile” JPY term rate, despite concerns