OIS discounting
LCH plans October 2020 SOFR discounting switch
Cash and basis swaps will reverse value transfer on US dollar derivatives
Swaps users mull ‘big bang’ for SOFR discounting
Cleared and bilateral US dollar swaps could move to SOFR discounting on the same day in 2020
Prep now for one-day lag in Eonia, market told
Overnight batch calculations will have to run during the day, following change to doomed benchmark
A rush on Libor fallbacks to head off holdouts
Concerns that valuation changes will scare some off adoption may be accelerating Isda timeline
Swaps data: SOFR volume and margin insights
Data shows recent leap in SOFR trades – and hints at growth in synthetic swaps
SOFR, so bad: liquidity lags transition ambitions
Thin current trading may lead to poor fallback choices, and dim SOFR’s appeal ahead of Libor’s death
RFR valuation challenges
A new system of interest rate benchmarks for all major currencies is emerging. These new benchmarks will replace interbank funding rates with risk-free rates (RFR). This article by LPA focuses on valuation challenges during the transitional period to new…
Esma: Eonia can be used in CSAs after 2020
Swaps users can avoid repapering before BMR deadline but may face basis risks
Offshore Eonia? A weird idea for weird times
As pressure builds in the search for a new rate, some non-EU banks are looking at ways of keeping the existing one alive
Pimco criticises LCH over SOFR plan
Senior official calls on CCP to follow CME and use SOFR for margin interest and discounting immediately
Eonia woes hold up euro swaptions switch
Eleventh-hour derailment for project that has been in the works for a year
Libor transition calls for modelling overhaul, quants warn
All pricing, risk and valuation models will need to be changed to reflect the new rate
Clearers diverge on SOFR swaps discounting
CME switches to new rate for clearing; rival LCH stays with Fed funds
Euro swaps market faces loss of key basis hedge
New Eonia/Euribor swaps will be barred from 2020 if Eonia fails to comply with EU benchmark rules
Swaps basis leaps as LDI funds prep for Libor’s death
Gap between 30-year Libor and Sonia swaps surges 36% in three weeks
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
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
Euro swaptions market prepares for pricing revamp
Interdealer market to adopt collateralised cash price from July, but some fear impact on legacy books
FSB report highlights Eonia worries
Market participants concerned about health of euro overnight rate, which is crucial to swaps contracts
Europe’s Eonia dilemma
As Europe begins formal search for new risk-free rate for swaps, it is unclear whether Eonia will survive
Totem extends pricing data to 10-year repos
IHS Markit service set to help banks with funding and swaps valuation concerns
The price is still wrong: banks tackle bond CSA discounting
Diverging Eonia and European repo rates spur banks to look at valuations of swaps with bond collateral
Buy side applauds Sonia’s coronation as UK risk-free rate
Decision a ‘no brainer’ but some say rejected secured rates could prove useful
Kaminski: discounting for energy swaps ‘a big mess’
Energy Risk USA: most energy firms still prefer Libor for discounting