Libor-OIS
Podcast: the remaining challenges for Libor transition
Rates quant says swaptions fallbacks turn cash-settled vanilla products into exotics
Clearing of legacy Libor swaps
Phillip Whitehurst, LCH, discusses the most disruptive aspects of all the conversions of non-US dollar Libor trades that will have happened by the end of the year, how LCH is dealing with legacy swaptions that settle into cleared swaps and how this…
Podcast: Piterbarg on medians and machine learning
How the Libor transition inspired NatWest quant’s latest paper on exotic derivatives valuation
The arcsine law for quantile derivatives
A new pricing model for quantile-based derivatives, such as Napoleon options, is presented
Euribor fallbacks expose loan market divisions
Consultation reveals splits over one-year transition period and internal transfer pricing models
Negative Euribor-Eonia spread tipped to persist
Supply and demand dynamics in unsecured market set to continue, pushing Euribor lower
Antitrust fears cloud Isda protocol – and fallback spreads
Wait for DoJ assurances could delay Libor transition plans and further unsettle rates trading
Libor-SOFR blowout raises questions for fallback rate
Implied three-month SOFR v Libor basis gapped to 108bp on March 19
Signing the Libor fallback protocol: a cautionary tale
As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
Nationwide and Lloyds win nod for Sonia bond switch
Covered bonds secure unanimous transition support, while first negative consent amendment passed
UK financials pilot £4bn Sonia bond switch
Lloyds, Santander UK and Nationwide follow ABP with legacy bond transition
Basis swaps spike amid US rates chatter
Budgetary wrangling and talk of Fed cuts spark Libor-OIS basis shift
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…