Risk-free rates (RFRs)
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
Fed discussing margin impact of SOFR switch
Isda AGM: Legacy Libor swaps should be protected from new rules when ditching Libor, MetLife’s Manske says
FCA: Libor contract changes shouldn’t trigger margin rules
Moving from Libor to an RFR shouldn’t force margin requirement on legacy non-cleared trades, says UK regulator
Libor administrator prepares to cut number of rates
Action aimed at keeping Libor going after 2021, says head of Ice Benchmark Administration
Swaps basis leaps as LDI funds prep for Libor’s death
Gap between 30-year Libor and Sonia swaps surges 36% in three weeks
After Libor: Japan, Australia look to multi-rate future
Using new risk-free rates alongside Libor equivalents gains industry support
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
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
FCA’s Libor plans a ‘reality check’ for loans, bonds, RMBS
Chair of US benchmark group says surprise announcement will push rate reform beyond swaps
FCA moots synthetic Libor as rates fallback
Once Libor is allowed to die, replacement could be risk-free rate plus fixed credit spread
Swaps users face potential margin bill for Libor transition
New margin rules could snare legacy trades amended to reference alternative rates, lawyers warn
Swiss rate reform in race against the clock
Time constraints and valuation headaches complicate swaps market transition from Tois to Saron
What is the economic value of FVA?
To end the funding valuation adjustment debate, this key question needs to be answered
LSE-backed Libor replacement faces data wrangle
Proposed secured rate based on data from NEX, which has a competing offering
Volatility adjustment flaw incentivises risky investments by insurers
Bankers point to opportunity for insurers to load up on short-dated credits
UK proposes 'onerous' application process for volatility adjustment
Long-term guarantees measure likely to be subject to regulatory approval
Proposals for stable Solvency II credit risk adjustment 'good news' but floor sparks controversy
European Commission's unofficial Level 2 draft disregards insurers’ calls for the adjustment to be capped
Rapporteur Balz on long-term guarantees, Solvency II's level 2 and global standards
Two months after the landmark political agreement on Omnibus II, MEP Burkhard Balz discusses the thorny issues that did not make it into the directive, spells out his expectations for the level 2 text and gives a warning about the implications of global…
Government bond traders see difficult markets heading into 2014
Your word is my bond
Solvency II extrapolation proposals feed volality debate
The European Insurance and Occupational Pensions Authority’s report on the long-term guarantees assessment has reignited the debate on the methodology for determining the risk-fee term structure. The authority’s proposals for a long extrapolation period…
Swedish insurers warn of manipulation threat to new discount curve
Concerns Solvency II-based risk-free curve could be distorted by speculators as market begins to adjust ALM hedges
Libor/OIS spread challenges insurers' risk management programmes
Spread carefully
European financial regulators challenge Eiopa on harmonised response to low interest rates
Regulatory solutions 'must account for local conditions', they say
Swedish Solvency II discount rate move 'must address sensitivity concerns'
Extrapolation methodology must be robust and allow insurers to manage solvency positions, says Insurance Sweden