Interest rate swaps
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
€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
Ice swap rate failure disrupts exotics desks
Dollar version of rate wasn’t published on nine out of 22 working days in August
Eurex to adopt €STR flat discounting for Euribor swaps
Switch planned for Q2 of 2020, with a single cash payment to correct value transfers
Libor transition and implementation – Covering all bases
Sponsored Q&A
Isda sets two options for Libor fallback spread
Historical spread adjustment to be based on five-year median or 10-year mean
Volume-starved SOFR leaves quant hankering for data
At T Rowe Price, a top quant is tired of SOFR being “yanked around by the liquidity premium”
FCA urges dealers to quote Sonia swaps on Clobs
Regulator co-ordinates efforts to stream firm prices as part of ramped-up transition plans
Deutsche opens bidding for interest rate derivatives
Fixed income assets on the block after equity derivatives sale closes
Tradeweb reveals package trading for swaps and bonds
New tool offers pricing and trading of sterling swap-bond combo
LCH sets €STR swap clearing launch date
Clearing house to offer the swaps from October 21, discounted at Eonia
Clearing house of the year: JSCC
Asia Risk Awards 2019
SOFR discounting switch splits Goldman and JP Morgan
CFTC committee calls on clearing houses to align timing and compensation mechanisms
Swaps data: analysing the US rates collapse
Prices collapse and expected worst-loss numbers hit new records
Brexit flips LCH-Eurex basis
LCH-Eurex basis has inverted on buy-side flows, hitting –1.3bp at July low
Evaluating the impact of Libor fallback
The planned discontinuation of Libor and other interbank offer rates (Ibors) in 2022 will affect a large number of existing financial contracts based on these benchmarks. According to some estimates, Libor-based contracts – such as interest rate swaps,…
CME no longer looking back to Lehman
Changes to rates margin model move CCP into line with rivals
ING issues ESG-linked interest rate swap
Dutch bank takes carrot-and-stick approach on interest rate swap for oil and gas equipment firm
CME-LCH basis collapses amid rates downturn
Brexit and recent LCH initial margin raise could also be factors
Asia awaits term SOFR solution for local benchmarks
Singapore, Thailand and the Philippines look at ways to replace Libor in benchmark calculations
IBA mulls RFQ data and Sonia spinoff to bolster swap rate
Benchmark administrator consults on plan to reduce non-publication and prepare for transition to RFRs
CurveGlobal and the curious case of the lost open interest
One-third short sterling plunge in open interest on CurveGlobal may signal more capital-sensitive times
Splits emerge over ‘pre-cessation’ fallback triggers
CCPs say cleared swaps will move to new rates if Libor is no longer representative of markets