Benchmark
ETF strategies to manage market volatility
Money managers and institutional investors are re-evaluating investment strategies in the face of rapidly shifting market conditions. Consequently, selective genres of exchange-traded funds (ETFs) are seeing robust growth in assets. Hong Kong Exchanges…
ESG investing: It’s not just great to be good
Investing according to environmental, social and governance (ESG) criteria can be done in various ways, with continuing development of filters and ways of analysing companies. As the market in ESG indexes and investments linked to sustainability matures,…
€STR swap trading gets under way
HSBC and JP Morgan strike first swap linked to the new euro short-term rate
Synthetic Libor mooted as ‘tough legacy’ fix
Recalibration of doomed rate or catch-all legislation under debate as lifeline for lingering contracts
Ice swap rate failure disrupts exotics desks
Dollar version of rate wasn’t published on nine out of 22 working days in August
Eurex to adopt €STR flat discounting for Euribor swaps
Switch planned for Q2 of 2020, with a single cash payment to correct value transfers
Looking forward to backward‑looking rates
Interbank offered rates are critical in the world of contracts and derivatives, acting as reference rates in millions of financial contracts and with a total market exposure in the hundreds of trillions of dollars. Bloomberg explores why offering…
Libor transition and implementation – Covering all bases
Sponsored Q&A
Isda sets two options for Libor fallback spread
Historical spread adjustment to be based on five-year median or 10-year mean
Volume-starved SOFR leaves quant hankering for data
At T Rowe Price, a top quant is tired of SOFR being “yanked around by the liquidity premium”
FCA urges dealers to quote Sonia swaps on Clobs
Regulator co-ordinates efforts to stream firm prices as part of ramped-up transition plans
Bank of China pioneers SOFR lending in Asia
In absence of term rate, lender uses daily compounded backward-looking rate
CLO investors find silver lining in Libor’s demise
A backward-looking SOFR rate will reduce the asset-liability mismatch that sank CLO equity in 2018
Benchmark reform, LCH-Eurex basis and FX algo fears
The week on Risk.net, September 7–13, 2019
LCH sets €STR swap clearing launch date
Clearing house to offer the swaps from October 21, discounted at Eonia
Patchy grasp of Libor reform worries Asia lenders
Widespread lack of understanding could hinder renegotiation of loan terms
Singapore looks to establish term RFR by 2020
Swaps linked to overnight rate will help create term structure, says industry committee member
Libor switch spells trouble for loan systems
Lenders face costly updates to ageing legacy platforms to cope with new risk-free rates
Evaluating the impact of Libor fallback
The planned discontinuation of Libor and other interbank offer rates (Ibors) in 2022 will affect a large number of existing financial contracts based on these benchmarks. According to some estimates, Libor-based contracts – such as interest rate swaps,…
Beyond market equilibrium – The future of active investing
Asset owners use indexes as policy benchmarks and reference portfolios in their asset allocation. Index investors track cap-weighted indexes that seek to capture the market return. Active investors select securities and build portfolios that aim to…
Why Asia is so desperate for a term SOFR
With US dollar Libor embedded in local benchmarks, users need a similar replacement
Dealers dip toe into Sonia swaptions market
NatWest and HSBC print trades, Barclays offers prices