Libor
Degree of influence: Regulatory policies drive quantitative research
Counterparty risk and market risk hold centre stage, data science moves up, quantum computing debuts
Euribor fallbacks could hit thin legal ice
In Italy and Germany, compound interest – the foundation of Euribor fallbacks – is actually illegal
BMR rift fuels zombie Libor uncertainty
False rate could limp on for months under EU’s benchmark regulation
Isda to poll Libor users on pre-cessation triggers, again
Trade body seeks clarity on zombie lifespan and CCP response as it bows to regulatory pressure
Interest rate derivatives house of the year: Goldman Sachs
Risk Awards 2020: US bank leads the way on SOFR, and gets creative to facilitate US insurer hedging
Derivatives house of the year: Bank of America
Risk Awards 2020: New home in Paris has brought more European clients to the Street’s most consistent markets franchise
Quants of the year: Andrei Lyashenko and Fabio Mercurio
Risk Awards 2020: Quants extend Libor market model to accommodate backward rates
Risk solutions house of the year: NatWest Markets
Risk Awards 2020: UK bank blazes Libor transition trail; solutions span NPLs to forex forwards
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Spotlight on SOFR
The US has chosen the secured overnight financing rate (SOFR) as its Libor replacement. SOFR swaps could get a boost when clearing houses start using the new rate in discounting, but there are some caveats. For other products, the US is drawing up Libor…
First all-RFR cross-currency swap traded
Goldman Sachs and Morgan Stanley strike landmark €STR v SOFR trade
FCA steps up call for Libor ‘pre-death’ trigger in swaps
Failure to insert pre-cessation trigger could disrupt hedging of cleared swaps, warns regulator
Sonia-Libor basis narrows after fallback verdict
Isda picks five-year median for spread adjustment, causing benchmark gap to tighten
Ice swap rate adds RFQ data; adopts Sonia
Industry backs overhaul of term swap rate to curb non-publication and hasten Libor switch
Opening the buy-side liquidity pool
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
Market participants question South African rate reform
Risk South Africa: Some urge caution as South Africa moves to reform Jibar
Repo madness, FRTB and swaptions switch
The week on Risk.net, November 2–8, 2019
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
Goldman’s Granet: repo tumult does not undermine SOFR
Risk USA: Libor transition head says SOFR is more stable than the rate it is set to replace
LCH won’t back single fix for swaptions switch
Clearing house pledges to “support” multiple solutions to discounting problem
Race to create term risk-free rates hots up
Markit joins term Sonia hopefuls; four providers release term €STR plans
UK swaps carrot for stick in Libor switch
BoE committee mulls policy action, which could include capital hikes on Libor exposures