Libor
Looking forward to backward‑looking rates
Interbank offered rates are critical in the world of contracts and derivatives, acting as reference rates in millions of financial contracts and with a total market exposure in the hundreds of trillions of dollars. Bloomberg explores why offering…
Harnessing AI to achieve Libor transition
Chris Dias, principal at KPMG, explains how the vast increase in accuracy that artificial intelligence (AI) offers when dealing with large volumes of complex agreements is crucial to exploring the market opportunities and mitigating the risks of the…
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
Bank of China pioneers SOFR lending in Asia
In absence of term rate, lender uses daily compounded backward-looking rate
Isda set to launch fallback spread consultation
Lookback and mean/median study to launch this month, with results tipped to move the basis market
CLO investors find silver lining in Libor’s demise
A backward-looking SOFR rate will reduce the asset-liability mismatch that sank CLO equity in 2018
Benchmark reform, LCH-Eurex basis and FX algo fears
The week on Risk.net, September 7–13, 2019
Libor takes a back seat as insurers await regulatory clarity
Eiopa silence on discount curves holds back transition plans
SOFR discounting switch splits Goldman and JP Morgan
CFTC committee calls on clearing houses to align timing and compensation mechanisms
Patchy grasp of Libor reform worries Asia lenders
Widespread lack of understanding could hinder renegotiation of loan terms
Singapore looks to establish term RFR by 2020
Swaps linked to overnight rate will help create term structure, says industry committee member
Libor switch spells trouble for loan systems
Lenders face costly updates to ageing legacy platforms to cope with new risk-free rates
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,…
Why Asia is so desperate for a term SOFR
With US dollar Libor embedded in local benchmarks, users need a similar replacement
Dealers dip toe into Sonia swaptions market
NatWest and HSBC print trades, Barclays offers prices
Australia a prime candidate for a term RFR – IHS Markit exec
With its liquid futures and OIS markets, the country could be a term rate leader
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
Splits emerge over ‘pre-cessation’ fallback triggers
CCPs say cleared swaps will move to new rates if Libor is no longer representative of markets
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
LCH plans October 2020 SOFR discounting switch
Cash and basis swaps will reverse value transfer on US dollar derivatives