Libor
Sonia’s share of sterling swaps tipped to hit 80% by year-end
Ahead of Monday’s convention switch, dealers already view Sonia as the primary sterling rate
FCA: sign up to fallback protocol or face ‘serious questions’
UK regulator urges derivatives users to accept Isda swap fallbacks to ensure compliance with benchmark law
BoE to publish ‘golden source’ compounded Sonia index in July
UK to align with US in effort eliminate interest calculation mismatches and turbo-charge adoption
Synthetic Libor faces legal obstacles
EU benchmark rules may thwart ‘tough legacy’ fix, reviving calls for blanket legislation
‘Rounding errors’ prompt EBRD to break with Sonia FRN norms
Index-friendly coupon structure touted as a template for future issuance in the UK market
SOFR discounting – Analysing the market impact
The switch to secured overnight financing rate (SOFR) discounting brings several complex issues and is impacting market practices. Ping Sun, senior vice‑president of financial engineering at Numerix, discusses the key issues, such as the differences…
Chinese banks set for mass loan repricing
Options launch slated for February to help industry switch to new benchmark by August
Goldman, JPM kick off SOFR swaptions
US dealers spearhead non-linear trading but patchy liquidity weighs on vol market ambitions
FCA dismisses Libor credit component concerns
UK regulator bemused by distress raised by US regional banks to Fed
Fast-track SOFR term rate, says JP Morgan’s Pluta
Traders divided on whether liquidity in SOFR futures is sufficient to support a forward rate
Understanding the significance of SOFR discounting for derivatives trading and risk
Two years in, the transition toward secured overnight financing rate (SOFR) has seen several milestones crossed, with 2019 in particular seeing a strong acceleration in SOFR usage. With all the SOFR trading activity that has taken place so far, the…
Why the numbers don’t add up for post-Libor hedge accounting
Experts raise concerns over IASB’s Phase II plans to move on from Libor
Secrets and Libor fallbacks
Lenders may be forced to reveal sensitive funding data when Libor disappears
Libor limbo: loan market fallback language upends lenders
Banks seek to replace painful fallback language in loan docs and avoid a cost-of-funds contingency
Isda plans February rerun of Libor pre-death trigger poll
Lack of consensus would add pre-cessation option to post-cessation protocol for bilateral swaps
Libor replacement jumble may hike hedging costs
Use of term rates and credit adjustments will create new basis risks that could be costly to hedge
Regulators urge buy-side action on Libor shift
ARRC set to release ‘checklist’ for buy-side firms, while FCA assesses exposures
LCH targets hardwired pre-cessation triggers
Proposal aims to align transfer pricing for cleared and bilateral markets in the event of split on ‘zombie Libor’ triggers
New pre-cessation poll likely as FCA quells zombie Libor fears
Minimal non-representative lifespan opens door for rerun of Isda trigger consultation
Aberdeen head of structured solutions departs
De Roeck considering Libor discontinuation consultancy launch
BofA nabs top market risk quant from Deutsche
Move for senior risk analytics exec comes as go-live for FRTB approaches
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
Judgement day looms for dealers in swap shift to Sonia
Regulator pushes Q1 deadline for users to adopt risk-free rate as norm for interdealer trades
EU compounding confusion creates headaches for banks
With the fallback possibly illegal in some EU states, loan system updates may become more complicated