Eonia
Synthetic Libor faces legal obstacles
EU benchmark rules may thwart ‘tough legacy’ fix, reviving calls for blanket legislation
€5trn of Eonia swaps mature after benchmark’s death
Almost 20% of derivatives notionals linked to retiring rate will expire post-2022
Why the numbers don’t add up for post-Libor hedge accounting
Experts raise concerns over IASB’s Phase II plans to move on from Libor
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…
LCH won’t back single fix for swaptions switch
Clearing house pledges to “support” multiple solutions to discounting problem
€STR swap trading gets under way
HSBC and JP Morgan strike first swap linked to the new euro short-term rate
LCH sets date for euro swap discounting change
Clearer will make switch for €91 trillion in swaps next June
Eurex to adopt €STR flat discounting for Euribor swaps
Switch planned for Q2 of 2020, with a single cash payment to correct value transfers
Benchmark reform, LCH-Eurex basis and FX algo fears
The week on Risk.net, September 7–13, 2019
LCH sets €STR swap clearing launch date
Clearing house to offer the swaps from October 21, discounted at Eonia
NLP sniffs out contracts harbouring Eonia as fallback
Test finds wide range of 4,000 Libor euro contracts examined could end up in the flagging Eonia rate
Swaptions face valuation hit on discounting switch
Move to new reference rates could hurt some swaptions holders, while others enjoy “windfall gain”
Avoid floating rates on non-cleared repo – ICMA
€STR won’t be published until October, but its next-day publication will make settling complicated
LCH, Eurex create fix for floating repo’s Eonia problem
Clearing houses to adjust repo balances the following day once rate moves to T+1
Lingering Euribor may hit €STR futures prospects
Bourses question viability of euro RFR contracts as Euribor reform efforts remove transition incentives
ECB’s Holthausen on Euribor, fallbacks and Eonia’s end
QE wind-down could boost Euribor, but panel bank expansion is unlikely
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
Court rules for Deutsche in negative interest case
Decision turns on Isda’s 2010 best practice guide, which said interest was only payable when rates were positive
In Netherlands vs Deutsche Bank, bets are on Deutsche
A decision is looming on Dutch appeal after being denied payment on interest rates gone negative
Critical EU benchmarks to be approved by year-end
Authorisation of Euribor is being expedited and could be granted in the summer
Differing European approaches may hamper Ibor transition
While sterling shifts to Sonia, efforts to save Euribor create euro multi-rate uncertainty