Risk-free rates (RFRs)
Search for term Libor replacement faces twin obstacles
Forward-looking rates based on futures too contrived, but OIS market lacks liquidity
Key South African rate ‘bears no relation’ to market
Jibar based on product that rarely traded during two-year period, says central bank official
EU lawmakers open to delaying ban on critical benchmarks
MEPs propose two-year reprieve for Eonia and Euribor if contractual continuity is at risk
IBA launches term risk-free rates
Forward-looking one-, three- and six-month Sonia rates to be based on Ice futures data
Swaps data: Sonia growth spreads down the curve
New figures show boom in sterling OIS swaps is not limited to short-dated trades
Ripple effect: The impact of moving away from Libor
Sponsored Q&A
Is Libor going away?
Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…
Swaps data: the race to replace Libor
Sonia swaps and SOFR futures are growing fast, says Amir Khwaja of Clarus FT
Libor reform threatens risk modelling under FRTB
Dearth of liquid products and historic data threatens banks with capital hit under new market risk rules
Dealers seek FRTB carve-out for Libor transition
Swaps could be judged non-modellable – and hit with capital add-on – as liquidity tails off in Libor
Esma: Eonia can be used in CSAs after 2020
Swaps users can avoid repapering before BMR deadline but may face basis risks
Offshore Eonia? A weird idea for weird times
As pressure builds in the search for a new rate, some non-EU banks are looking at ways of keeping the existing one alive
ECB looks to ‘accelerate’ Ester publication
Industry pleas to publish new risk-free rate earlier may be finally answered
Benchmark bother: Europe frets over new risk-free rate
Unsecured fixing from ECB faces off against two repo-based rates, as 2020 benchmark deadline looms large
FCA could kill off Libor, says Bailey
Warning breaks new ground, provoking immediate responses at CFTC meeting
Eonia death will hit valuations and OIS market – expert
Working group hears end of Euribor by 2020 would threaten financial stability
Some banks open to committing to Libor post-2021
At least two houses concerned about risks of transitioning to alternative rates
Regulator calls for term Sonia as transition talk ramps up
Schooling Latter throws scepticism on Libor reform efforts
Model risk in the transition to risk-free rates
Transition is an opportunity to reduce multi-rate complexities, say Bakkar and Brigo
RBA’s Debelle warns against buy-side Libor complacency
Central banker also says Australian dollar swaps may gradually migrate to cash rate if other Ibors end
Swaps users to get three choices for synthetic Libor
Consultation due next month as industry tries to avoid big losses on benchmark’s death
Euro swaps market faces loss of key basis hedge
New Eonia/Euribor swaps will be barred from 2020 if Eonia fails to comply with EU benchmark rules
Fed discussing margin impact of SOFR switch
Isda AGM: Legacy Libor swaps should be protected from new rules when ditching Libor, MetLife’s Manske says