SOFR
SOFR trades transact below zero for the first time
A few traders paid around -0.02% to borrow Treasuries in exchange for cash
Libor webinar playback: spotlight on derivatives
Panellists from Deutsche Bank, LCH, Numerix and Tradeweb on transition timelines, volatility and discounting
Libor webinar playback: spotlight on bonds
Panellists from Lloyds, RBC Capital Markets and TD Securities discuss efforts to switch to new lending benchmarks
Covid-19 disruptions expose Libor loan fallback flaws
Amending legacy loans during a crisis will prove challenging, ARRC member warns
Libor-SOFR blowout raises questions for fallback rate
Implied three-month SOFR v Libor basis gapped to 108bp on March 19
Rate volatility highlights benchmark flaws
Libor and SOFR in spotlight following market rout, as both decouple from commercial paper
Pandemic threatens Libor transition plans
Resources diverted to Covid-19 response, as RFR-Libor basis spikes on stress
SOFR drought, CB accounts for CCPs, and the Top 10 Op Risks
The week on Risk.net, February 29–March 6, 2020
Fed funds swaptions offer SOFR alternative
Investors dry-run systems using familiar overnight rate, as markets wait for SOFR liquidity to build
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
BoE to publish ‘golden source’ compounded Sonia index in July
UK to align with US in effort eliminate interest calculation mismatches and turbo-charge adoption
Synthetic Libor faces legal obstacles
EU benchmark rules may thwart ‘tough legacy’ fix, reviving calls for blanket legislation
‘Rounding errors’ prompt EBRD to break with Sonia FRN norms
Index-friendly coupon structure touted as a template for future issuance in the UK market
SOFR discounting – Analysing the market impact
The switch to secured overnight financing rate (SOFR) discounting brings several complex issues and is impacting market practices. Ping Sun, senior vice‑president of financial engineering at Numerix, discusses the key issues, such as the differences…
First SOFR versus CORRA cross-currency swap hits market
JP Morgan and National Bank of Canada extend SOFR cross-currency trading into Canadian market
Goldman, JPM kick off SOFR swaptions
US dealers spearhead non-linear trading but patchy liquidity weighs on vol market ambitions
FCA dismisses Libor credit component concerns
UK regulator bemused by distress raised by US regional banks to Fed
Fast-track SOFR term rate, says JP Morgan’s Pluta
Traders divided on whether liquidity in SOFR futures is sufficient to support a forward rate
Understanding the significance of SOFR discounting for derivatives trading and risk
Two years in, the transition toward secured overnight financing rate (SOFR) has seen several milestones crossed, with 2019 in particular seeing a strong acceleration in SOFR usage. With all the SOFR trading activity that has taken place so far, the…
Isda plans February rerun of Libor pre-death trigger poll
Lack of consensus would add pre-cessation option to post-cessation protocol for bilateral swaps
Libor replacement jumble may hike hedging costs
Use of term rates and credit adjustments will create new basis risks that could be costly to hedge
Regulators urge buy-side action on Libor shift
ARRC set to release ‘checklist’ for buy-side firms, while FCA assesses exposures
LCH targets hardwired pre-cessation triggers
Proposal aims to align transfer pricing for cleared and bilateral markets in the event of split on ‘zombie Libor’ triggers