SOFR
Libor leaders: LCH brings SOFR swaps into the fold
CCP adapted risk models to start clearing new swaps and plans quick switchover to SOFR discounting
Libor leaders: TD Securities takes Sonia FRN standards to US
Canadian bank showed US market can handle compounded coupons
Libor leaders: Webster Bank aims to clear big SOFR hurdles
Small Connecticut-based lender is focusing on client education and fallbacks
Libor replacement: a modelling framework for in-arrears term rates
Andrei Lyashenko and Fabio Mercurio expand rates modelling to the post-Libor world
Libor leaders: EIB sees prizes and pitfalls in Libor reform
Sonia bond trailblazer wants a single bond template for all RFRs, but found hidden devils in its debut
Swaps data: a new era of competition in interest rate futures
The demise of Libor has set off a battle for market share in futures referencing new risk-free rates
Libor leaders: Prudential takes SOFR for a test drive
Test trades have allowed US insurer to start getting used to a life without Libor
A mystery: why did the NY Fed use a survey to get SOFR?
Almost a week later, still no word on why SOFR was set using a market survey instead of submissions
New tools needed for bespoke SOFR trades – Wells Fargo
US bank’s Libor transition head wants ‘simple’ way to calculate compound rates for any given period
Banks quiet on Libor legacy transition, say Asian clients
Hong Kong Electric Company and APG Asia say dealer engagement on amending products is limited
Evolution or extinction: Ice swap rate’s post-Libor quandary
Thin liquidity in SOFR swaps imperils reference rate for $40 trillion swaptions market
Swaps users mull ‘big bang’ for SOFR discounting
Cleared and bilateral US dollar swaps could move to SOFR discounting on the same day in 2020
LCH basis swap templates may aid Libor conversion
Compression providers say new templates will make risk replacement trades more efficient
SOFR swap surge points to Q2 repo hedging
Strategists say 27 swaps traded last week with July 3 expiries likely to be quarter-end US repo rate hedges
The biggest stories from Isda’s 2019 AGM
From new uses of SOFR to non-modellable risk factors in Asia – here are the 10 best stories from the conference
MetLife executes $250 million SOFR-linked repo
Isda AGM: US insurer's hedging chief says systems issues hindering its use of derivatives, however
LCH discounting switch tipped to help SOFR swap market
Isda AGM: Using SOFR discounting for Libor swaps will help build liquidity, say market participants
Traders back SOFR derivatives as repo hedge
Isda AGM: Market participants say products linked to the rate could mitigate quarter-end spikes
US Treasury won’t issue SOFR notes until at least 2020
Project Titan will delay issuance of floating rate Treasury notes linked to new reference rate
Fed repo facility may fix SOFR’s image problem
‘Overnight standing repo facility’ could stop year-end rate spikes, and extend Fed’s reach
Libor fallbacks a low priority for most bond investors
However some securities shunned due to perceived weak legal safeguards
SOFR tipped to hit 300bp at quarter-end
US repo rate set for 25% spike thanks to French bank “window dressing” and US Treasury issuance