Term structure
Libor replacement II: completing the generalised FMM
The FMM is upgraded to model the full term structure, pricing all possible bonds and the bank account
Key steps in the transition to SOFR
Phil Whitehurst, head of service development, rates, SwapClear at LCH, offers his insight into when a term structure for the secured overnight financing rate (SOFR) is likely to be established, what will be required for this to become a reality and what…
Singapore debuts floater linked to risk-free rate
DBS to issue one-year note with compounded SORA coupon
Japan selects term risk-free rate vendor
Sketchy volumes in overnight index swaps hold up calculation methodology
Compounded rate out of favour, finds Japan survey
Users prefer forward-looking term rate to replace yen Libor, but dealers bemoan “lack of understanding”
Race to create term risk-free rates hots up
Markit joins term Sonia hopefuls; four providers release term €STR plans
Hong Kong eyes SOFR solution for term fixing
New ‘proxy’ Honia could help change discount rate from Hibor to OIS for local swaps, says HKEX
Ice swap rate failure disrupts exotics desks
Dollar version of rate wasn’t published on nine out of 22 working days in August
Libor transition and implementation – Covering all bases
Sponsored Q&A
Singapore looks to establish term RFR by 2020
Swaps linked to overnight rate will help create term structure, says industry committee member
Why Asia is so desperate for a term SOFR
With US dollar Libor embedded in local benchmarks, users need a similar replacement
Australia a prime candidate for a term RFR – IHS Markit exec
With its liquid futures and OIS markets, the country could be a term rate leader
Sonia users face three-way choice in term rate
Trio of rival forward-looking versions of sterling Libor successor set to be available
No forward-looking rates? No problem
A commonly used quant model could be the answer to the replacement of forward-looking Libor
FRAs won't work with standard Libor fallback, experts say
Payments on $84 trillion market rely on forward rates but industry’s chosen fallback is backward looking
Singapore looks to synthetic Libor for new benchmark calculation
The way Singapore’s swap rate is calculated must change if Libor disappears after 2021
First SOFR term rate coming in 2020
Staff at the New York Fed are working on a series of backward-looking averages
A tenth of users ‘don’t know’ if Libor death affects them, survey finds
Respondents blame low industry preparedness on lack of standardisation in treatment of fallbacks
Japan’s term RFR toil may mean bigger Tibor role
Derivatives-based methods for constructing curve challenging amid negative rate environment
Quant of the year: Alexei Kondratyev
Risk Awards 2019: A glimpse of the future? Quant uses ML to model term structure and crunch margin costs
IBA launches term risk-free rates
Forward-looking one-, three- and six-month Sonia rates to be based on Ice futures data
Is Libor going away?
Amid widespread expectation that Libor will soon be discontinued, questions are being asked around whether the transitioning towards risk-free rates will prove too onerous to achieve. Christopher Dias, principal, advisory, at KPMG, explores whether the…
Banks to ask EC for delay of benchmarks rule
New ECB rate may appear only months before rules bar use of Eonia and Euribor