SOFR
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
IBA mulls RFQ data and Sonia spinoff to bolster swap rate
Benchmark administrator consults on plan to reduce non-publication and prepare for transition to RFRs
LCH plans October 2020 SOFR discounting switch
Cash and basis swaps will reverse value transfer on US dollar derivatives
JP Morgan first to issue SOFR-linked preferred stock
BofA, Goldman Sachs and others are also preparing for Libor’s end
How the New York Fed produces SOFR in a contingency
No mystery about use of contingency methodology to calculate SOFR for May 31, says Fed exec
Swaptions face valuation hit on discounting switch
Move to new reference rates could hurt some swaptions holders, while others enjoy “windfall gain”
JP Morgan warming to derivatives-based term RFR rates
Risk Live: Unlike Libor, the market has a say in them. (Though they may not be real term rates, executive muses)
Dealers issue rallying cry for cross-currency benchmark reform
Risk Live: Global banks need to drive new standards for multi-rate swaps, say leading industry execs
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