Benchmark
Libor reform threatens hedge accounting for loans
Changes to loan terms may nullify contracts and create balance sheet volatility
FCA: loan market shouldn’t wait for forward rates
Development of new term benchmarks is no excuse to delay transition, says Schooling Latter
ECB’s Holthausen on Euribor, fallbacks and Eonia’s end
QE wind-down could boost Euribor, but panel bank expansion is unlikely
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
Ahead of the curve: how traders profited from Libor fallbacks
Market second-guesses spread for new risk-free rate, spicing up Libor-Sonia basis market
Libor leaders: TD Securities takes Sonia FRN standards to US
Canadian bank showed US market can handle compounded coupons
Libor will not transition quietly – What you need to know now
Liang Wu, vice-president of financial engineering and head of CrossAsset product management at Numerix, discusses the scope of the transition from Libor to alternative reference rates – also known as risk-free rates (RFRs), including their…
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: ABP crafts blueprint for corporate Libor switch
UK port operator converts swaps and bonds to Sonia, but loans proving more tricky
Credit data: more trouble in the oil and gas pipeline
US self-sufficiency in oil could be bad news for shale producers
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
Libor leaders: Prudential takes SOFR for a test drive
Test trades have allowed US insurer to start getting used to a life without Libor
First bond switch from Libor to Sonia gets go-ahead
Landmark move sees Associated British Ports become first to amend legacy bond reference rate
Libor leaders: how seven firms are tackling the transition
BMO, Prudential, Associated British Ports, LCH and others reveal their plans to move off troubled benchmark
Libor leaders: BMO sets the pace in RFR transition
Early mover switches £10 billion of pension liability swap hedges to Sonia
Machine learning governance
The ability of machine learning models to read great quantities of unstructured data, spot patterns and translate it into actionable information is driving a significant uptake in the technology. David Asermely, SAS MRM global lead, highlights the need…
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
FCA: Sonia derivatives liquid enough to create term rates
Andrew Bailey says a forward-looking rate can work, but its use should be limited
Some see Esma reining in position limits after review
The scope of position limits could shrink to cover just the major benchmarks, one executive argues
Sonia advances: liquidity builds as banks eye interdealer shift
Libor’s successor has some solid footholds. Wider acceptance could come as soon as later this year
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
