Risk-free rates (RFRs)
Big banks worry small lenders could derail Libor switch
As UK regulator reiterates 2021 warning, dealers say Covid-19 is forcing smaller lenders to divert resources
Sonia proves its mettle through Covid-19 crisis
New risk-free rate gaining ground at Libor’s expense
Covid loans support six-month extension for Libor lending
UK working group delays Libor loan end-date to March 2021 as emergency loan scheme shuns Sonia
Sonia term rate contenders tested by market mayhem
Regulator-proposed quote approach falters as dealers pull swap prices from screens
Does rates reform for structured notes lack structure?
Philipp Orgler and Vladimir Piterbarg say it’s time to focus on Ibor transition for structured notes
RFRs hit Main Street as Swiss banks launch Saron mortgages
Negative rates ease path for compounded Saron home loans without lags or lookbacks
CCPs postpone euro discounting switch to July
Five-week extension agreed after working group proposal for September delay fails to find consensus
Top US banks issue $35bn of SOFR-linked debt in 2020 to date
Citi leads on notes placed year-to-date
Japanese dealers join calls for Libor extension
Local firms struggle to adapt to remote working as coronavirus throws benchmark transition plans off course
SOFR trades transact below zero for the first time
A few traders paid around -0.02% to borrow Treasuries in exchange for cash
Libor webinars: loans, bonds and derivatives
Listen here to three Risk.net webinars, covering topics from transition timelines to market turmoil
Libor webinar playback: spotlight on derivatives
Panellists from Deutsche Bank, LCH, Numerix and Tradeweb on transition timelines, volatility and discounting
Virus turmoil threatens swaps discounting switch
Clearing houses expect deadlines to be met, but swaps users are not so sure
Libor Risk – Quarterly report Q1 2020
Regulators may have to accept Libor transition will be slower than they hoped. But the final framework may yet be more robust as a result. Knowing how rates perform in times of stress will be crucial to the success of benchmarks intended for real economy…
Libor webinar playback: spotlight on bonds
Panellists from Lloyds, RBC Capital Markets and TD Securities discuss efforts to switch to new lending benchmarks
Libor-SOFR blowout raises questions for fallback rate
Implied three-month SOFR v Libor basis gapped to 108bp on March 19
Swaps benchmark vanishes as traders flee firm price venues
Dollar Ice swap rate fails to publish in March rout; patchy Sonia Clob prices could delay term rates
Pandemic threatens Libor transition plans
Resources diverted to Covid-19 response, as RFR-Libor basis spikes on stress
Sonia swaps surge not mirrored by futures
Popularity of short sterling futures takes shine off Sonia’s RFR succession
OIS trading in sterling, euro and Aussie dollar soar
Euro overnight index swaps notional volumes hit €192 billion on March 1
Japan selects term risk-free rate vendor
Sketchy volumes in overnight index swaps hold up calculation methodology
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