Sonia
Compounding, venue disrupters and the Fed’s stress buffer
The week on Risk.net, January 11–17, 2020
Judgement day looms for dealers in swap shift to Sonia
Regulator pushes Q1 deadline for users to adopt risk-free rate as norm for interdealer trades
Giant £174bn Sonia swaps trading day may be biggest ever
Mammoth swaps focus on upcoming announcements from the Bank of England’s Monetary Policy Committee
Swaps data: have SOFR and Sonia swaps and futures lived up to expectations?
Progress on volumes of SOFR and Sonia swaps and futures
Lloyds plans £4bn Sonia shift for covered bond extension clause
Consent solicitation aims to flip one-year Libor-linked grace period on fixed instruments to RFR
Sonia users push for official in-arrears rate
US Fed proposal for compounded SOFR index leads to calls for endorsement of NatWest’s Sonia calculation
In the US, it’s an even ‘tougher legacy’ for Libor
A legislative solution for cash products is in the works, but lawyers say it raises constitutional issues
Isda to poll Libor users on pre-cessation triggers, again
Trade body seeks clarity on zombie lifespan and CCP response as it bows to regulatory pressure
Risk solutions house of the year: NatWest Markets
Risk Awards 2020: UK bank blazes Libor transition trail; solutions span NPLs to forex forwards
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
FCA steps up call for Libor ‘pre-death’ trigger in swaps
Failure to insert pre-cessation trigger could disrupt hedging of cleared swaps, warns regulator
Sonia-Libor basis narrows after fallback verdict
Isda picks five-year median for spread adjustment, causing benchmark gap to tighten
Ice swap rate adds RFQ data; adopts Sonia
Industry backs overhaul of term swap rate to curb non-publication and hasten Libor switch
Opening the buy-side liquidity pool
Vikash Rughani, business manager at triReduce and triBalance, outlines a new approach enabling buy- and sell-side participants to optimise the transition of legacy Libor over-the-counter swaps contracts to alternative reference rates
Nationwide and Lloyds win nod for Sonia bond switch
Covered bonds secure unanimous transition support, while first negative consent amendment passed
UK financials pilot £4bn Sonia bond switch
Lloyds, Santander UK and Nationwide follow ABP with legacy bond transition
Race to create term risk-free rates hots up
Markit joins term Sonia hopefuls; four providers release term €STR plans
UK swaps carrot for stick in Libor switch
BoE committee mulls policy action, which could include capital hikes on Libor exposures
Lloyds wins consent to flip £1bn covered bond to Sonia
The conversion, backed by 99.84% of bondholders, marks another milestone in the Libor transition
FCA official: stick with overnight rates for all new contracts
Schooling Latter limits term rates to legacy contracts and wants backward-looking method for loans
Swaps data: are the new RFRs on track to replace Libor?
Progress on volumes of SOFR and Sonia swaps and futures
Synthetic Libor mooted as ‘tough legacy’ fix
Recalibration of doomed rate or catch-all legislation under debate as lifeline for lingering contracts