Libor
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
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
World Bank completes first SOFR bond hedge
The largest SOFR swap trades to date were executed on August 13
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
Brexit, EU regulation and a new benchmark
The week on Risk.net, July 28-August 3, 2018
Benchmark bother: Europe frets over new risk-free rate
Unsecured fixing from ECB faces off against two repo-based rates, as 2020 benchmark deadline looms large
Money funds get S&P green light to buy SOFR notes
After many funds were shut out of first SOFR issuance, agency has now approved new benchmark
Investors cheer debut Fannie SOFR note launch
Healthy demand could have been higher if S&P had approved benchmark
Fed’s Quarles critical of opaque Libor data
ARRC chair Sandra O’Connor also questions IBA transparency
First SOFR swaps trade as banks test new benchmark
First OTC trades include two basis swaps and an OIS trade, with JP Morgan thought to be a counterparty
US swaps users want CFTC rules lifted in Libor switch
Dodd-Frank should not catch contracts amended as part of move to new rates, letter argues
BAML shrugs off higher funding costs
Bank reports 38 basis point jump in long-term debt interest expense quarter to quarter
Pimco criticises LCH over SOFR plan
Senior official calls on CCP to follow CME and use SOFR for margin interest and discounting immediately
FCA could kill off Libor, says Bailey
Warning breaks new ground, provoking immediate responses at CFTC meeting
Libor transition calls for modelling overhaul, quants warn
All pricing, risk and valuation models will need to be changed to reflect the new rate
Clearers diverge on SOFR swaps discounting
CME switches to new rate for clearing; rival LCH stays with Fed funds
UK bank funding costs spike in Q1 – BoE
Total term debt issuance is around 60% higher this year to date than at the same points in 2016 and 2017
Libor transition raises basis risk fear
Shift to secured benchmark could cause dislocation between bank funding and lending rates
Fed adviser denies plan to ‘euthanise’ Libor
IBA agreement to keep the benchmark alive would be welcomed but comes with risks, says Bowman
EIB shrugs off term RFR worries with Sonia bond plan
Issuer to use daily compounded, backward-looking rate with time lag for sterling benchmark
Buy side frets over fallbacks in ‘zombie Libor’ scenario
Firms say any future plunge in number of Libor contributors should trigger switch to fallback rate