Sonia
Traders pin Sonia derivative woes on UK’s local difficulties
Market participants say BoE forecasts and mini-budget help explain RFR products’ lack of liquidity
Analytic risk-free rates option pricing with smile and skew
An arbitrage-free short-rate model for backward-looking compounded rates is presented
Tradeweb lodges MAT application for SOFR and Sonia swaps
If accepted by the CFTC, trades referencing the benchmarks must be traded on-Sef from June 1
Battle lines drawn as exchanges launch €STR futures
CME is betting its three-month contracts will give it an edge over Ice’s one-month version
Banks face conduct risk threat as term SOFR trading grows
Trades linked to forward benchmark at risk of falling foul of strict client hedging remit, lawyers warn
US funds edge towards SOFR adoption
Counterparty Radar: A fifth of swap notional held in Q4 references the RFR but funds still lean on USD Libor
Legacy Libor swaptions face day of reckoning
Holders of physically settled swaptions in sterling and yen must switch to new risk-free rates, but it’s not simple
SOFR swaps surge past $1 trillion weekly
OIS make up the majority of SOFR-referencing swaps
FCA: dealer polls pose further Libor transition hurdle
Schooling Latter warns further work needed to migrate products that require dealer quotes when Libor ceases
Bumpy ride expected as Libor reaches end of road
Heavy reliance on contractual fallbacks leaves market facing series of post-cessation risks
VAR model update cuts NatWest’s market RWAs by 26%
Market RWAs fell from £10.9 billion to £8 billion in Q3 following regulatory approval for a VAR update linked to Libor cessation
Dealers fear operational ‘cliff edge’ when Libor disappears
Over-reliance on fallbacks could lead to failures at year-end
The impact of compounding on bond pricing with alternative reference rates
This paper looks at the impact of compounding on zero-coupon bond prices by considering the short rate when it follows a Gaussian diffusion process or a stochastic volatility jump-diffusion process.
Synthetic Libor gets cautious approval as swaps fix
‘Tough legacy’ solution could mop up $2.7trn-equivalent of non-cleared sterling and yen derivatives
Sonia/SOFR swaps jump ahead of ‘RFR First’ initiative
Cross-currency swaps increasingly seeing RFRs on both legs
NatWest gets VAR model approval as transition from Libor continues
The updated model is expected to reverse a £1.5bn increase in markets RWAs next quarter
Cross-currency swaps set to ditch Libor in ‘RFR first’ drive
A plan to oust Libor in September is expected to spur voluntary RFR adoption for euro legs
Swaptions get fallback safety net, but crave CCP fix
Isda’s Ice swap rate fallbacks calm fears, yet CCP action needed to protect physical settlement
New Isda definitions pave way for bespoke swaps clearing
Pick-and-mix grid of floating rate options will make it easier to clear post-Libor bond hedges
Ice pips Refinitiv to synthetic Libor prize
FCA selects IBA term Sonia for sterling tough legacy fix; Torf chosen for three yen settings
Rush to meet net-zero target could see Sonia, SOFR collapse
Policy inaction could halt benchmarks’ normalisation, BoE biennial exploratory scenario finds
BoE’s post-Libor clearing plan leaves yen swaps in limbo
Sonia and €STR will be mandated for clearing, while Tonar must wait until liquidity settles
CDS market prepares to join Libor transition
Ice and LCH will switch to new rates for margin interest; Isda to follow in standard model update
Sterling swaptions edge towards Sonia ahead of July deadline
Risk-free successor jumps to almost half non-linear activity, up from 20% in April