Benchmark
Signing the Libor fallback protocol: a cautionary tale
As Orwell’s Room 101 beckons for Libor publication, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol
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
EU compounding confusion creates headaches for banks
With the fallback possibly illegal in some EU states, loan system updates may become more complicated
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
Compounded rate out of favour, finds Japan survey
Users prefer forward-looking term rate to replace yen Libor, but dealers bemoan “lack of understanding”
Zombie Libor, climate risk flaw, Mifid’s closed door
The week on Risk.net, December 7–13, 2019
Initial margin – A regulatory bottleneck
With the recent announcement of an extended preparation period for those smaller entities needing to post initial margin under the uncleared margin rules, the new timetable could cause a bottleneck for firms busy repapering derivatives contracts linked…
Euribor fallbacks could hit thin legal ice
In Italy and Germany, compound interest – the foundation of Euribor fallbacks – is actually illegal
BMR rift fuels zombie Libor uncertainty
False rate could limp on for months under EU’s benchmark regulation
Validation of index and benchmark assignment: adequacy of capturing tail risk
This paper provides practical recommendations for the validation of risk models under the Targeted Review of Internal Models (TRIM).
Lifetime achievement: Benoît Coeuré
Risk Awards 2020: The departing ECB executive has helped transform eurozone financial markets
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…
First all-RFR cross-currency swap traded
Goldman Sachs and Morgan Stanley strike landmark €STR v SOFR trade
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
Market participants question South African rate reform
Risk South Africa: Some urge caution as South Africa moves to reform Jibar
Goldman’s Granet: repo tumult does not undermine SOFR
Risk USA: Libor transition head says SOFR is more stable than the rate it is set to replace
LCH won’t back single fix for swaptions switch
Clearing house pledges to “support” multiple solutions to discounting problem
Stress-testing to improve strategic decision‑making
Banking regulators remain focused on expanding and developing the range of stress-testing regimes across the globe to maintain stability, monitor emerging risks and avoid another financial crisis. Here, a forum of industry leaders discusses the evolution…
Hong Kong eyes SOFR solution for term fixing
New ‘proxy’ Honia could help change discount rate from Hibor to OIS for local swaps, says HKEX
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