Libor OIS
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
Kaminski: discounting for energy swaps ‘a big mess’
Energy Risk USA: most energy firms still prefer Libor for discounting
Fed funds-linked swaps outstrip Libor for first time
Banks point to money market reform, Libor changes and Fed expectations as catalyst
Monthly swaps data review: Libor dominance challenged
There are more sources of over-the-counter derivatives data available today than at any point in the market’s history
Swiss rate reform in race against the clock
Time constraints and valuation headaches complicate swaps market transition from Tois to Saron
Credit goes to forward rate spreads
Term structure of interest rates explained with a credit model
Proposals for stable Solvency II credit risk adjustment 'good news' but floor sparks controversy
European Commission's unofficial Level 2 draft disregards insurers’ calls for the adjustment to be capped
FASB recognises OIS rate as hedge accounting benchmark
Rule change could see growth in swaps indexed to federal funds rate
Insurers struggling with move to OIS discounting
Lack of consistency in dealer practices means many insurance firms are sticking with Libor discounting for now