Euro short-term rate (€STR)
SOFR swaps surge past $1 trillion weekly
OIS make up the majority of SOFR-referencing swaps
Euro/dollar crosses embrace RFRs, while other currencies lag
€STR becomes new standard for euro cross-currency swaps; CAD and AUD stick with legacy rates
Eonia trading shuts down as CCPs make €STR switch
Dealers and venues step back from Eonia swaps after contracts become unclearable
Cross-currency swaps set to ditch Libor in ‘RFR first’ drive
A plan to oust Libor in September is expected to spur voluntary RFR adoption for euro legs
Euro RFR group calls for statutory Eonia fix
Legal designation for €STR as replacement rate would avert “confusion” in €9trn of legacy contracts
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
Isda plans ‘modular’ RFR conventions
Swaps definitions will be updated in response to divergent compounding styles in loan markets
BoE to consult on Sonia clearing mandate
Long-dated Sonia swaps set to lose clearing exemption as liquidity shifts from Libor
Swaps users shun cash compensation in LCH Libor switch
Members push for spread adjustment to maintain risk profiles, ignoring warnings of market bifurcation
Euribor fallbacks expose loan market divisions
Consultation reveals splits over one-year transition period and internal transfer pricing models
OTC infrastructure service of the year: Capitalab
Risk Awards 2021: valiant effort to solve swaptions discounting problem wins praise from clients
Approaching the endgame – What’s left for completing Libor transition?
Philip Whitehurst, head of service development, rates at LCH, discusses the International Swaps and Derivatives Association’s 2020 Ibor fallbacks protocol, its relevance for cleared swaps, remaining transition steps and major developments to look out for…
LCH plans Libor swap switch to RFRs
Proposal would see trades moved to compounded RFRs, with cash compensation paid to those who lose out
Slow €STR swap take-up threatens term rate fallbacks
Esma’s Maijoor calls for greater use of new benchmark to help develop forward-looking rates
Libor Telethon playback: regulators stress ‘no new use’
Watch BoE, FCA, Fed and industry speakers tackling prickly cessation questions
€STR transition stymied by addiction to Eonia – ECB
Notional outstanding OIS referencing outgoing rate has increased year-to-date
CCPs mull ‘big bang’ €STR swap conversion
A co-ordinated transition of Eonia contracts is being discussed with members and end-users
Euribor fallback consultation set for November
ECB’s Holthausen raises concerns over inclusion of non-existent term €STR as safety net for euro contracts
Libor webinar playback: spotlight on euros
Panellists from ECB, LCH, Natixis and Societe Generale discuss struggling liquidity in €STR
Libor countdown webinar series – Euro
In this webinar, a panel of experts discusses €STR liquidity, how firms fared through the recent central counterparty discount switches, the impact on €STR swaps trading and the future of Euribor
ECB’s Holthausen urges market to ditch Eonia
Regulator sees risk in relying on fallbacks to effect switch to €STR – and calls on dealers to educate clients
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