Risk-free rates (RFRs)
‘Rounding errors’ prompt EBRD to break with Sonia FRN norms
Index-friendly coupon structure touted as a template for future issuance in the UK market
€5trn of Eonia swaps mature after benchmark’s death
Almost 20% of derivatives notionals linked to retiring rate will expire post-2022
First SOFR versus CORRA cross-currency swap hits market
JP Morgan and National Bank of Canada extend SOFR cross-currency trading into Canadian market
Goldman, JPM kick off SOFR swaptions
US dealers spearhead non-linear trading but patchy liquidity weighs on vol market ambitions
Why the numbers don’t add up for post-Libor hedge accounting
Experts raise concerns over IASB’s Phase II plans to move on from Libor
Libor limbo: loan market fallback language upends lenders
Banks seek to replace painful fallback language in loan docs and avoid a cost-of-funds contingency
Isda plans February rerun of Libor pre-death trigger poll
Lack of consensus would add pre-cessation option to post-cessation protocol for bilateral swaps
Libor replacement jumble may hike hedging costs
Use of term rates and credit adjustments will create new basis risks that could be costly to hedge
LCH targets hardwired pre-cessation triggers
Proposal aims to align transfer pricing for cleared and bilateral markets in the event of split on ‘zombie Libor’ triggers
New pre-cessation poll likely as FCA quells zombie Libor fears
Minimal non-representative lifespan opens door for rerun of Isda trigger consultation
Aberdeen head of structured solutions departs
De Roeck considering Libor discontinuation consultancy launch
Swaps data: have SOFR and Sonia swaps and futures lived up to expectations?
Progress on volumes of SOFR and Sonia swaps and futures
Lloyds plans £4bn Sonia shift for covered bond extension clause
Consent solicitation aims to flip one-year Libor-linked grace period on fixed instruments to RFR
First Ibor versus SOFR cross-currency swap trades
Westpac and Citi strike BBSW/SOFR trade in landmark moment for Australian market
Sonia users push for official in-arrears rate
US Fed proposal for compounded SOFR index leads to calls for endorsement of NatWest’s Sonia calculation
Solvency II relief measures lift EU insurer capital ratios by a third
UK firms benefit most from long-term guarantee and transitional benefits
Compounded rate out of favour, finds Japan survey
Users prefer forward-looking term rate to replace yen Libor, but dealers bemoan “lack of understanding”
OTC trading platform of the year: Tradeweb
Risk Awards 2020: To keep volumes growing, platform had to confront “incumbent’s dilemma”
Isda to poll Libor users on pre-cessation triggers, again
Trade body seeks clarity on zombie lifespan and CCP response as it bows to regulatory pressure
Clearing house of the year: LCH
Risk Awards 2020: CCP conquers Brexit threat to deliver banner year for RFRs, margin and forex
Interest rate derivatives house of the year: Goldman Sachs
Risk Awards 2020: US bank leads the way on SOFR, and gets creative to facilitate US insurer hedging
Derivatives house of the year: Bank of America
Risk Awards 2020: New home in Paris has brought more European clients to the Street’s most consistent markets franchise
Risk solutions house of the year: NatWest Markets
Risk Awards 2020: UK bank blazes Libor transition trail; solutions span NPLs to forex forwards
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