Benchmark
Japan dealers unhappy with all Libor fallback options
Bank association snubs request to rank Isda’s proposals – reluctantly picking ‘least bad’ option
More carrot, less stick in US Libor transition
Risk USA: US regulators take softer approach than UK counterparts
Search for term Libor replacement faces twin obstacles
Forward-looking rates based on futures too contrived, but OIS market lacks liquidity
Trading costs versus arrival price – An intuitive and comprehensive methodology
Craig Niven, managing director, cash equity execution at Societe Generale Prime Services explores how a five‑month study allowed the organisation to develop a market impact model using historical data, and why it is key for clients in the long term to…
Key South African rate ‘bears no relation’ to market
Jibar based on product that rarely traded during two-year period, says central bank official
Sef reforms could distort new, sounder benchmark rates
Tradition’s Fitzpatrick warns that more ways of trading swaps could dent progress made on fixings
The initial margin challenge – Why the bang just got bigger
With uncertainty abounding as the industry heads into the final phases of implementation of the uncleared margin rules (UMR), Jean‑Paul Botha, delivery lead of financial trade documentation at Thomson Reuters Legal Managed Services, explores the…
Libor to become third-country benchmark under no-deal Brexit
UK-based reference rate would need to gain EU approval by end-2019 to avoid “unthinkable” disruption
EU lawmakers open to delaying ban on critical benchmarks
MEPs propose two-year reprieve for Eonia and Euribor if contractual continuity is at risk
IBA launches term risk-free rates
Forward-looking one-, three- and six-month Sonia rates to be based on Ice futures data
Swaps data: Sonia growth spreads down the curve
New figures show boom in sterling OIS swaps is not limited to short-dated trades
Ripple effect: The impact of moving away from Libor
Sponsored Q&A
Term versions of RFRs will work – FCA official
Schooling-Latter backs plan to build curve from swaps and futures; others have doubts
Ibor transition valuation and risk management considerations
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle…
RFR valuation challenges
A new system of interest rate benchmarks for all major currencies is emerging. These new benchmarks will replace interbank funding rates with risk-free rates (RFR). This article by LPA focuses on valuation challenges during the transitional period to new…
Banks to ask EC for delay of benchmarks rule
New ECB rate may appear only months before rules bar use of Eonia and Euribor
New York’s MTA to issue first SOFR muni bond
Transport authority for New York City joins five other issuers in using new US benchmark
Buy side could be biggest voice in key margin decisions
Asset managers encouraged to join Simm’s daily polling mechanism – despite some dealers’ concerns
Swaps data: the race to replace Libor
Sonia swaps and SOFR futures are growing fast, says Amir Khwaja of Clarus FT
Libor reform threatens risk modelling under FRTB
Dearth of liquid products and historic data threatens banks with capital hit under new market risk rules
Dealers seek FRTB carve-out for Libor transition
Swaps could be judged non-modellable – and hit with capital add-on – as liquidity tails off in Libor
Esma: Eonia can be used in CSAs after 2020
Swaps users can avoid repapering before BMR deadline but may face basis risks
Offshore Eonia? A weird idea for weird times
As pressure builds in the search for a new rate, some non-EU banks are looking at ways of keeping the existing one alive