Libor
Swaptions face valuation hit on discounting switch
Move to new reference rates could hurt some swaptions holders, while others enjoy “windfall gain”
BoE is going to curb Libor collateral. But how much?
Harshest of three ideas to shift market to Sonia would largely ban Libor collateral from its market ops
Hong Kong seeks European equivalence for Hibor and Honia
For the territory’s crucial renminbi fixings, however, no path to approval has yet been decided
No forward-looking rates? No problem
A commonly used quant model could be the answer to the replacement of forward-looking Libor
Ice, CME set to launch new VAR models in early 2020
Bourses plan to switch margining of energy futures at different times, prompting speculation of “arbitrage opportunities”
JP Morgan warming to derivatives-based term RFR rates
Risk Live: Unlike Libor, the market has a say in them. (Though they may not be real term rates, executive muses)
Dealers issue rallying cry for cross-currency benchmark reform
Risk Live: Global banks need to drive new standards for multi-rate swaps, say leading industry execs
BoE drops Libor for hedging UK forex reserves
Risk Live: Central bank adopts Sonia in Treasury swap programme, consults on restrictions for Libor collateral
Lingering Euribor may hit €STR futures prospects
Bourses question viability of euro RFR contracts as Euribor reform efforts remove transition incentives
Libor, IM offset and smart contracts
The week on Risk.net, June 15–21, 2019
Libor reform threatens hedge accounting for loans
Changes to loan terms may nullify contracts and create balance sheet volatility
FCA: loan market shouldn’t wait for forward rates
Development of new term benchmarks is no excuse to delay transition, says Schooling Latter
ECB’s Holthausen on Euribor, fallbacks and Eonia’s end
QE wind-down could boost Euribor, but panel bank expansion is unlikely
Libor leaders: LCH brings SOFR swaps into the fold
CCP adapted risk models to start clearing new swaps and plans quick switchover to SOFR discounting
Ahead of the curve: how traders profited from Libor fallbacks
Market second-guesses spread for new risk-free rate, spicing up Libor-Sonia basis market
Libor leaders: TD Securities takes Sonia FRN standards to US
Canadian bank showed US market can handle compounded coupons
Libor leaders: Webster Bank aims to clear big SOFR hurdles
Small Connecticut-based lender is focusing on client education and fallbacks
Libor replacement: a modelling framework for in-arrears term rates
Andrei Lyashenko and Fabio Mercurio expand rates modelling to the post-Libor world
Libor leaders: ABP crafts blueprint for corporate Libor switch
UK port operator converts swaps and bonds to Sonia, but loans proving more tricky
Libor leaders: EIB sees prizes and pitfalls in Libor reform
Sonia bond trailblazer wants a single bond template for all RFRs, but found hidden devils in its debut
Swaps data: a new era of competition in interest rate futures
The demise of Libor has set off a battle for market share in futures referencing new risk-free rates
Libor leaders: Prudential takes SOFR for a test drive
Test trades have allowed US insurer to start getting used to a life without Libor