Overnight index swaps
Swaps data: SOFR volume and margin insights
Data shows recent leap in SOFR trades – and hints at growth in synthetic swaps
Q&A: Japan RFR group head on term rates and Tonar liquidity
MUFG’s Matsuura discusses term benchmark options, cross-currency swaps and Tibor’s future
Euro term rate likely to be OIS-based, says RFR group chair
Committed quotes “the most viable methodology”, but some insist rate creates new risks
Fallback decision will lift yen OIS, says Japan RFR group chair
Move should kick-start dormant Tonar OIS market – key requirement to building a term rate
Japan’s term RFR toil may mean bigger Tibor role
Derivatives-based methods for constructing curve challenging amid negative rate environment
Libor fallbacks set to split cash and swaps
Basis could appear when benchmark dies, with swaps, bonds and loans embracing different fallbacks
Search for term Libor replacement faces twin obstacles
Forward-looking rates based on futures too contrived, but OIS market lacks liquidity
IBA launches term risk-free rates
Forward-looking one-, three- and six-month Sonia rates to be based on Ice futures data
Ripple effect: The impact of moving away from Libor
Sponsored Q&A
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…
Banks to ask EC for delay of benchmarks rule
New ECB rate may appear only months before rules bar use of Eonia and Euribor
Swaps data: the race to replace Libor
Sonia swaps and SOFR futures are growing fast, says Amir Khwaja of Clarus FT
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
First SOFR swaps trade as banks test new benchmark
First OTC trades include two basis swaps and an OIS trade, with JP Morgan thought to be a counterparty
Eonia woes hold up euro swaptions switch
Eleventh-hour derailment for project that has been in the works for a year
Eonia death will hit valuations and OIS market – expert
Working group hears end of Euribor by 2020 would threaten financial stability
Model risk in the transition to risk-free rates
Transition is an opportunity to reduce multi-rate complexities, say Bakkar and Brigo
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
FSB report highlights Eonia worries
Market participants concerned about health of euro overnight rate, which is crucial to swaps contracts
LCH set to clear 50-year Sonia swaps
Clearing house says it will clear long-dated swaps linked to the sterling overnight rate by end of 2017
Monthly swaps data review: analysing CCP and Sef volumes
Data shows strong growth at LCH and JSCC, while OIS products surge