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Credit-sensitive SOFR add-on could be included in Isda’s interest rate definitions by mid-April Print this page
New standards are being drawn up for trading in swaps referencing Bloomberg’s short-term bank yield index (BSBY), one of a handful of credit-sensitive benchmarks vying for a place in the post-Libor markets.
The International Swaps and Derivatives Association has created documentation that would govern trading in BSBY swaps, which was sent to members on March 23. Following a comment period, the new benchmark will be added to the trade body’s interest rate definitions in mid-April.
“We currently
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Risk.net
Eurodollar futures will die with Libor but there is no obvious ready-made replacement Print this page
The imminent demise of the Libor benchmark is threatening to redraw the competitive landscape of the US dollar rates trading business along new boundaries.
The Chicago Mercantile Exchange, the dominant force in listed derivatives, will soon see the end of its all-conquering Eurodollar futures contract. The product is estimated to have accounted for around 8% – or roughly $380 million – of CME’s total revenues in 2020.
Eurodollar futures are benchmarked to three-month US dollar Libor, which
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Alternative to BoE index includes 0% floors and support for both lag and shift conventions
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Ice Benchmark Administration (IBA) has begun publishing a series of Sonia indexes aimed at loan issuers seeking an alternative to an official version launched by the Bank of England in August.
The indexes are designed to simplify the calculation of compounded-in-arrears rates and should be available for use in loan contracts from April 1, when sterling Libor lending is due to cease.
The market had been expected to coalesce around the BoE’s index, but conventions for calculating interest
Risk.net
Buy-side use of average pricing contributed to rash of failed trades and give-ups last March Print this page
Everyone was blaming everybody else. In March 2020, a massive spike in volumes led to chaos in the futures markets, with delays and trade breaks pitting banks and brokers against exchanges and clearers – and pretty much everyone against post-trade vendors – in claim and counterclaim. At the time, the only camp to largely escape attention was asset managers.
But in the industry’s ongoing inquiry into what happened, one aspect of buy-side behaviour is being pinpointed as the biggest source of
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