Benchmark
Cross-currency swaps could hasten RFR shift in Australia
Adoption of new risk-free rate for both swap legs likely to turbo-charge wider benchmark change, say sources
Brexit clouds future for Euribor and Eonia in UK
Clashing deadlines threaten to scuttle rates, but ‘in-flight files’ bill might save them
EU banks bracing for Ibors' demise – EBA
Nine out of 10 firms working on how benchmark reform will affect existing contracts
A tenth of users ‘don’t know’ if Libor death affects them, survey finds
Respondents blame low industry preparedness on lack of standardisation in treatment of fallbacks
Fed economists float new way to project op risk losses
Researchers suggest combining firm’s size with loss history to best predict losses under CCAR
Taking the lead on financial crime regulatory compliance
Increased scrutiny of anti-money laundering and customer due-diligence procedures means banks must create more efficient and effective systems. A recent webinar conducted by Risk.net and IBM discussed how leading banks are utilising artificial…
Q&A: Japan RFR group head on term rates and Tonar liquidity
MUFG’s Matsuura discusses term benchmark options, cross-currency swaps and Tibor’s future
Euro term rate likely to be OIS-based, says RFR group chair
Committed quotes “the most viable methodology”, but some insist rate creates new risks
Fallback decision will lift yen OIS, says Japan RFR group chair
Move should kick-start dormant Tonar OIS market – key requirement to building a term rate
Japan’s term RFR toil may mean bigger Tibor role
Derivatives-based methods for constructing curve challenging amid negative rate environment
Libor fallbacks set to split cash and swaps
Basis could appear when benchmark dies, with swaps, bonds and loans embracing different fallbacks
New directions – Diversification of alternative risk premia strategies
Despite a difficult year, investors remain keen to use alternative risk premia strategies. However, current approaches may be less diversified than they appear, especially given cross-contamination in cash equity factors. According to Nomura, a more…
Law firm of the year: Linklaters
Risk Awards 2019: Linklaters at forefront of major changes to OTC derivatives market
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