Libor
Isda set to launch fallback spread consultation
Lookback and mean/median study to launch this month, with results tipped to move the basis market
CLO investors find silver lining in Libor’s demise
A backward-looking SOFR rate will reduce the asset-liability mismatch that sank CLO equity in 2018
Benchmark reform, LCH-Eurex basis and FX algo fears
The week on Risk.net, September 9-13, 2019
Libor takes a back seat as insurers await regulatory clarity
Eiopa silence on discount curves holds back transition plans
SOFR discounting switch splits Goldman and JP Morgan
CFTC committee calls on clearing houses to align timing and compensation mechanisms
Patchy grasp of Libor reform worries Asia lenders
Widespread lack of understanding could hinder renegotiation of loan terms
Singapore looks to establish term RFR by 2020
Swaps linked to overnight rate will help create term structure, says industry committee member
Libor switch spells trouble for loan systems
Lenders face costly updates to ageing legacy platforms to cope with new risk-free rates
Evaluating the impact of Libor fallback
The planned discontinuation of Libor and other interbank offer rates (Ibors) in 2022 will affect a large number of existing financial contracts based on these benchmarks. According to some estimates, Libor-based contracts – such as interest rate swaps,…
Why Asia is so desperate for a term SOFR
With US dollar Libor embedded in local benchmarks, users need a similar replacement
Dealers dip toe into Sonia swaptions market
NatWest and HSBC print trades, Barclays offers prices
Australia a prime candidate for a term RFR – IHS Markit exec
With its liquid futures and OIS markets, the country could be a term rate leader
IBA mulls RFQ data and Sonia spinoff to bolster swap rate
Benchmark administrator consults on plan to reduce non-publication and prepare for transition to RFRs
Splits emerge over ‘pre-cessation’ fallback triggers
CCPs say cleared swaps will move to new rates if Libor is no longer representative of markets
NLP sniffs out contracts harbouring Eonia as fallback
Test finds wide range of 4,000 Libor euro contracts examined could end up in the flagging Eonia rate
LCH plans October 2020 SOFR discounting switch
Cash and basis swaps will reverse value transfer on US dollar derivatives
JP Morgan first to issue SOFR-linked preferred stock
BofA, Goldman Sachs and others are also preparing for Libor’s end
Sonia users face three-way choice in term rate
Trio of rival forward-looking versions of sterling Libor successor set to be available
How the New York Fed produces SOFR in a contingency
No mystery about use of contingency methodology to calculate SOFR for May 31, says Fed exec
Sterling RFR group urges Eiopa to end mismatch on rates
In letter, group points to discrepancy in requirement to use Libor-linked rates as Libor fades out
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