BSBY Swaps & Futures Volume
USD Benchmark Rates
Lastest BSBY News
IFLR ($)- Alice Tchernookova | 12/20/2021
In the third part of our survey, we look at the ongoing popularity of credit-sensitive rates as a replacement for USD Libor, with Ameribor and BSBY distinguishably outranking the rest
BRN Take: With over half of the respondents in a recent IFLR client survey planning to use a credit sensitive rate as either a spread to SOFR or stand alone rate, market participants and banks in particular, may look to align a credit sensitive rate with their own cost of funding. With SOFR broadly viewed as an appropriate replacement for Libor derivatives, the idea of a multi rate environment may gain additional momentum as Libor fades away and the focus on rate suitability increases.
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Market Risk Advisory Committee (MRAC) subcommittee on Interest Rate Benchmark Reform | 12/16/2021
Pursuant to the Market Risk Advisory Committee’s (MRAC) approval of the SOFR First Initiative at the MRAC meeting on July 13, 2021, the MRAC Subcommittee on Interest Rate Benchmark Reform (Subcommittee) outlines best practices for market participants to consider vis-à-vis transitioning new LIBOR-based exchange-traded derivatives activity to SOFR activity in the near term.
BW Take: The MRAC Subcommittee user guide encourages market participants to ensure operational capability and to consider voluntary conversions of LIBOR risk inclusive of Eurodollar futures and options to SOFR at this time and in advance of USD LIBOR’s cessation on June 30, 2023 stressing the risk of a decline in LIBOR liquidity following the year-end supervisory deadline.
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Risk.net ($) – Helen Bartholomew | 11/25/2021
Lenders are calling on financial authorities to more clearly define the activities that would be exempt from a prohibition on new US dollar Libor contracts after December 31, amid uncertainty over the fate of some lending agreements including uncommitted credit lines and so-called “accordion” provisions. “We know in some areas what you can do, and in some areas what you can’t, and then there’s a fairly large grey area that is creating a huge amount of anxiety in the market,” said Meredith
BW Take: A very interesting read from Risk’s Helen Bartholomew citing the call for lenders requesting clarity on the scope of Libor’s expiration and where you draw the line of interpretation with respect to carve-outs. While this may seem to relate to documentation and how a revolving credit facility can operate, it also highlights the complexity of adopting SOFR relative to a credit sensitive rate.
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Risk.net ($) – Helen Bartholomew | 11/11/2021
A milestone in the long and tortuous transition from Libor to successor rates was reached on October 5, when real estate developer Walker & Dunlop announced a $600 million syndicated loan.
BRN Take: As banks begin to address the challenges of lending against SOFR, complex credit spread structures are addressing date mismatches, basis risk and the need to align with bank funding costs. As borrowers and lenders address this evolving loan complexity, the rationale of adopting a risk free rate relative to a credit sensitive rate will be a very hot topic into he days and weeks ahead.
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*Data limited to syndicated loans, as bilateral loan activity is less readily available as of 28-Aug-2023