Libor
Swaps basis leaps as LDI funds prep for Libor’s death
Gap between 30-year Libor and Sonia swaps surges 36% in three weeks
Libor concerns prompt switch to Sonia swaps
Move by some UK LDI managers has steepened Sonia-Libor basis
After Libor: Japan, Australia look to multi-rate future
Using new risk-free rates alongside Libor equivalents gains industry support
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
The present of futures
Fabio Mercurio introduces a new multi-curve model for pricing futures convexity adjustments
JSCC to aid yen Libor transition with new OIS swaps
Market participants sceptical launch will boost liquidity enough to help move off yen Libor
Swaps users face tense wait for Euribor all-clear
Euro swaps market would have a year to replace rate if it fails to comply with EU benchmark rules
Scrapping of Eonia revamp piles pressure on ECB
Dealers fear central bank's new rate won’t arrive in time to create swap curve by 2020
Non-EU banks consider updating benchmark fallbacks
Move follows Iosco call for contingency planning that mimics new EU standards
Swiss loans may struggle with Libor transition, warn lawyers
Lack of standardisation means fallback clauses may be unable to handle move to Saron
Asian administrators in denial on EU benchmarks regulation
Non-EU benchmarks have until 2020 to comply, but swaps contracts may need to change immediately
Review of 2017: All sorts of volatility, bar one
Markets were oddly calm this year, while everything else was in motion
Fed finalises new market benchmarks
Three transaction-based alternatives to US dollar Libor to launch in 2018
FASB to vote on hedge accounting for US Libor successor
Standards body likely to approve SOFR as eligible
The fraught search for a Libor fallback
Banks and buy side disagree over how to prepare for Libor’s death
Basis risk looms for insurers in Libor transition
UK insurers may need to pay more and run basis risk to hedge interest rates after transition
Fed’s Powell on Libor reform, repo and clearing
Risk30: Market doesn’t need to “clear all US dollars in US and all euros in eurozone” says next Fed chair
Fed’s Powell: Libor death is ‘big stability risk’
Speaking to Risk.net, Fed chair nominee flags Libor dangers for FRNs, loans and other products
The future of risk in 10 interviews: volatility, liquidity and tech
Fed’s Powell, JP Morgan CRO, Bridgewater co-CEO all feature in upcoming profiles
Pimco calls for urgency on Libor transition
Bond giant wants SOFR rate published “sooner rather than later”; BlackRock raises questions over liquidity
Swiss regulator fast-track key to cleared Saron swaps launch
Ice warns against rushing new products into clearing, however
Ice’s Sprecher criticises Libor replacement push
Exchange head says overnight rates cannot replace term benchmarks
Industry mulls auction-based Libor swaps transition plan
Stanford’s Darrell Duffie proposes solution for switch to referencing alternative risk-free rates