Libor
First all-RFR cross-currency swap traded
Goldman Sachs and Morgan Stanley strike landmark €STR v SOFR trade
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
Market participants question South African rate reform
Risk South Africa: Some urge caution as South Africa moves to reform Jibar
Repo madness, FRTB and swaptions switch
The week on Risk.net, November 2–8, 2019
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
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
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
Libor transition and implementation – Special report 2019
A critical halfway stage has been reached on the Libor transition journey – at least in terms of timing. It’s just over two years since the UK’s top financial regulator called notice on the discredited benchmark. It’s also just over two years until the…
Realising opportunities while managing conduct risk
As efforts to transition from Libor to risk-free rates ramp up, Maria Blanco and Nassim Daneshzadeh, partners in PwC’s US and UK financial services practices, discuss two critical and interconnected strategies that are front and centre for PwC clients
€STR swap trading gets under way
HSBC and JP Morgan strike first swap linked to the new euro short-term rate
Synthetic Libor mooted as ‘tough legacy’ fix
Recalibration of doomed rate or catch-all legislation under debate as lifeline for lingering contracts
Eurex to adopt €STR flat discounting for Euribor swaps
Switch planned for Q2 of 2020, with a single cash payment to correct value transfers