Risk-free rates (RFRs)
Japanese dealers join calls for Libor extension
Local firms struggle to adapt to remote working as coronavirus throws benchmark transition plans off course
SOFR trades transact below zero for the first time
A few traders paid around -0.02% to borrow Treasuries in exchange for cash
Libor webinars: loans, bonds and derivatives
Listen here to three Risk.net webinars, covering topics from transition timelines to market turmoil
Libor webinar playback: spotlight on derivatives
Panellists from Deutsche Bank, LCH, Numerix and Tradeweb on transition timelines, volatility and discounting
Virus turmoil threatens swaps discounting switch
Clearing houses expect deadlines to be met, but swaps users are not so sure
Libor Risk – Quarterly report Q1 2020
Regulators may have to accept Libor transition will be slower than they hoped. But the final framework may yet be more robust as a result. Knowing how rates perform in times of stress will be crucial to the success of benchmarks intended for real economy…
Libor webinar playback: spotlight on bonds
Panellists from Lloyds, RBC Capital Markets and TD Securities discuss efforts to switch to new lending benchmarks
Libor-SOFR blowout raises questions for fallback rate
Implied three-month SOFR v Libor basis gapped to 108bp on March 19
Swaps benchmark vanishes as traders flee firm price venues
Dollar Ice swap rate fails to publish in March rout; patchy Sonia Clob prices could delay term rates
Pandemic threatens Libor transition plans
Resources diverted to Covid-19 response, as RFR-Libor basis spikes on stress
Sonia swaps surge not mirrored by futures
Popularity of short sterling futures takes shine off Sonia’s RFR succession
OIS trading in sterling, euro and Aussie dollar soar
Euro overnight index swaps notional volumes hit €192 billion on March 1
Japan selects term risk-free rate vendor
Sketchy volumes in overnight index swaps hold up calculation methodology
Sonia’s share of sterling swaps tipped to hit 80% by year-end
Ahead of Monday’s convention switch, dealers already view Sonia as the primary sterling rate
FCA: sign up to fallback protocol or face ‘serious questions’
UK regulator urges derivatives users to accept Isda swap fallbacks to ensure compliance with benchmark law
BoE to publish ‘golden source’ compounded Sonia index in July
UK to align with US in effort eliminate interest calculation mismatches and turbo-charge adoption
Synthetic Libor faces legal obstacles
EU benchmark rules may thwart ‘tough legacy’ fix, reviving calls for blanket legislation
Dealers prefer repo for new risk-free rate in Korea
Unsecured rate undercut by dwindling transactions in local call market
‘Rounding errors’ prompt EBRD to break with Sonia FRN norms
Index-friendly coupon structure touted as a template for future issuance in the UK market
€5trn of Eonia swaps mature after benchmark’s death
Almost 20% of derivatives notionals linked to retiring rate will expire post-2022
First SOFR versus CORRA cross-currency swap hits market
JP Morgan and National Bank of Canada extend SOFR cross-currency trading into Canadian market
Goldman, JPM kick off SOFR swaptions
US dealers spearhead non-linear trading but patchy liquidity weighs on vol market ambitions
Why the numbers don’t add up for post-Libor hedge accounting
Experts raise concerns over IASB’s Phase II plans to move on from Libor