Libor-OIS
First bond switch from Libor to Sonia gets go-ahead
Landmark move sees Associated British Ports become first to amend legacy bond reference rate
Libor leaders: BMO sets the pace in RFR transition
Early mover switches £10 billion of pension liability swap hedges to Sonia
LCH basis swap templates may aid Libor conversion
Compression providers say new templates will make risk replacement trades more efficient
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
FX swaps to avoid year-end basis blowout, banks say
Earlier rollovers likely to ensure no repeat of previous cross-currency volatility
Japan dealers unhappy with all Libor fallback options
Bank association snubs request to rank Isda’s proposals – reluctantly picking ‘least bad’ option
Ripple effect: The impact of moving away from Libor
Sponsored Q&A
Transitioning beyond Libor: Some key considerations
Liang Wu, vice-president of financial engineering and head of CrossAsset product management at Numerix, explores the transition to Libor alternative rates and the impact on curve construction practices
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…
Libor transition calls for modelling overhaul, quants warn
All pricing, risk and valuation models will need to be changed to reflect the new rate
Foreign banks in US wary after funding costs rise
Following jump in Libor/OIS spread, many US entities continue borrowing from parents
Funding changes break cross-currency, Libor/OIS link
Tax reform and Treasury issuance focuses bank US dollar funding pressures onshore
Swaps basis leaps as LDI funds prep for Libor’s death
Gap between 30-year Libor and Sonia swaps surges 36% in three weeks
Libor concerns prompt switch to Sonia swaps
Move by some UK LDI managers has steepened Sonia-Libor basis
After Libor: Japan, Australia look to multi-rate future
Using new risk-free rates alongside Libor equivalents gains industry support
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
The present of futures
Fabio Mercurio introduces a new multi-curve model for pricing futures convexity adjustments
The fraught search for a Libor fallback
Banks and buy side disagree over how to prepare for Libor’s death
Basis risk looms for insurers in Libor transition
UK insurers may need to pay more and run basis risk to hedge interest rates after transition
Europe’s Eonia dilemma
As Europe begins formal search for new risk-free rate for swaps, it is unclear whether Eonia will survive