SOFR
Repo madness, FRTB and swaptions switch
The week on Risk.net, November 4–8, 2019
Fed’s repo operations will not fix rate spikes, dealers say
Risk USA: leverage constraints remain, even after massive injections of emergency liquidity
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
All clear? Structural shifts add to repo madness
Many things contributed to 10% repo, among them a FICC programme and a surge in overnight funding
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
Hong Kong eyes SOFR solution for term fixing
New ‘proxy’ Honia could help change discount rate from Hibor to OIS for local swaps, says HKEX
FCA official: stick with overnight rates for all new contracts
Schooling Latter limits term rates to legacy contracts and wants backward-looking method for loans
Swaps data: are the new RFRs on track to replace Libor?
Progress on volumes of SOFR and Sonia swaps and futures
LCH sets date for euro swap discounting change
Clearer will make switch for €91 trillion in swaps next June
Ice swap rate failure disrupts exotics desks
Dollar version of rate wasn’t published on nine out of 22 working days in August
Looking forward to backward‑looking rates
Interbank offered rates are critical in the world of contracts and derivatives, acting as reference rates in millions of financial contracts and with a total market exposure in the hundreds of trillions of dollars. Bloomberg explores why offering…
Libor transition and implementation – Covering all bases
Sponsored Q&A
Volume-starved SOFR leaves quant hankering for data
At T. Rowe Price, a top quant is tired of SOFR being “yanked around by the liquidity premium”
SOFR futures volumes surge as overnight repo rates spike
Daily trading volume of one-month contracts climbs 156% between September 16-17
Bank of China pioneers SOFR lending in Asia
In absence of term rate, lender uses daily compounded backward-looking rate
CLO investors find silver lining in Libor’s demise
A backward-looking SOFR rate will reduce the asset-liability mismatch that sank CLO equity in 2018
SOFR discounting switch splits Goldman and JP Morgan
CFTC committee calls on clearing houses to align timing and compensation mechanisms
Libor switch spells trouble for loan systems
Lenders face costly updates to ageing legacy platforms to cope with new risk-free rates
Evaluating the impact of Libor fallback
The planned discontinuation of Libor and other interbank offer rates (Ibors) in 2022 will affect a large number of existing financial contracts based on these benchmarks. According to some estimates, Libor-based contracts – such as interest rate swaps,…
Why Asia is so desperate for a term SOFR
With US dollar Libor embedded in local benchmarks, users need a similar replacement
Asia awaits term SOFR solution for local benchmarks
Singapore, Thailand and the Philippines look at ways to replace Libor in benchmark calculations