SOFR
More carrot, less stick in US Libor transition
Risk USA: US regulators take softer approach than UK counterparts
Banks warned of capital add-ons for legacy Libor contracts
UK regulators’ letter to firms could be followed by Pillar 2 charge to speed transition to Sonia
Search for term Libor replacement faces twin obstacles
Forward-looking rates based on futures too contrived, but OIS market lacks liquidity
Ripple effect: The impact of moving away from Libor
Sponsored Q&A
Transitioning beyond Libor: Some key considerations
Liang Wu, vice-president of financial engineering and head of CrossAsset product management at Numerix, explores the transition to Libor alternative rates and the impact on curve construction practices
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…
Term versions of RFRs will work – FCA official
Schooling-Latter backs plan to build curve from swaps and futures; others have doubts
Ibor transition valuation and risk management considerations
The impending move from interbank offered rates to alternate reference rates will require important changes to many valuation and risk management processes and infrastructure. EY Financial Services’ Shankar Mukherjee, Michael Sheptin and John Boyle…
New York’s MTA to issue first SOFR muni bond
Transport authority for New York City joins five other issuers in using new US benchmark
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
World Bank completes first SOFR bond hedge
The largest SOFR swap trades to date were executed on August 13
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
Brexit, EU regulation and a new benchmark
The week on Risk.net, July 28-August 3, 2018
Money funds get S&P green light to buy SOFR notes
After many funds were shut out of first SOFR issuance, agency has now approved new benchmark
Investors cheer debut Fannie SOFR note launch
Healthy demand could have been higher if S&P had approved benchmark
Fed’s Quarles critical of opaque Libor data
ARRC chair Sandra O’Connor also questions IBA transparency
First SOFR swaps trade as banks test new benchmark
First OTC trades include two basis swaps and an OIS trade, with JP Morgan thought to be a counterparty
US swaps users want CFTC rules lifted in Libor switch
Dodd-Frank should not catch contracts amended as part of move to new rates, letter argues
Pimco criticises LCH over SOFR plan
Senior official calls on CCP to follow CME and use SOFR for margin interest and discounting immediately
Libor transition calls for modelling overhaul, quants warn
All pricing, risk and valuation models will need to be changed to reflect the new rate
Clearers diverge on SOFR swaps discounting
CME switches to new rate for clearing; rival LCH stays with Fed funds
Libor transition raises basis risk fear
Shift to secured benchmark could cause dislocation between bank funding and lending rates