OIS discounting
Buy-siders bemoan ‘dark arts’ of corporate bond CSA discounting
Litany of pricing variables fuel wide differences in how dealers calculate discount rates for collateral agreements
OTC infrastructure service of the year: Capitalab
Risk Awards 2021: valiant effort to solve swaptions discounting problem wins praise from clients
Libor Telethon playback: regulators stress ‘no new use’
Watch BoE, FCA, Fed and industry speakers tackling prickly cessation questions
HKEX to clear SOFR cross-currency swaps from early 2021
Legacy Libor cross-currency swaps could move to SOFR discounting at the same time
CCP discount switch drives record SOFR swap volumes
Historic move off fed funds discounting leads to trading surge
CCPs mull ‘big bang’ €STR swap conversion
A co-ordinated transition of Eonia contracts is being discussed with members and end-users
‘Big bang’ sends basis swaps on roller-coaster ride
Secrecy at CME is contributing to volatility ahead of next week’s switch to SOFR discounting
ECB’s Holthausen urges market to ditch Eonia
Regulator sees risk in relying on fallbacks to effect switch to €STR – and calls on dealers to educate clients
SOFR basis tightens on ‘big bang’ auction disclosure
Indicative auction portfolio unveiled by LCH shows discount risk heavily skewed to liquid end of curve
Accounting rules snare insurers in SOFR discounting switch
Re-couponing swaps to reduce discount risk could have adverse accounting consequences for insurers
SOFR discounting: CCPs prepare for make or break auctions
Deluge of one-way risk and kinks in basis swap auctions could derail Libor transition milestone
Libor webinar playback: traders hope for liquidity catalysts
Panellists from JP Morgan, Morgan Stanley and Tradeweb discuss "make or break" year for transition
US loan market will move to SOFR by Q1 of 2021 – Wells Fargo
Libor head predicts quick transition for loans following ‘big bang’ shifts in swaps
LCH debuts central clearing for Sora derivatives
CCP expects surge in volumes after clearing first trade linked to Singapore’s risk-free rate
LCH, HKEX to clear swaps linked to Asia overnight rates
Clearing houses ready launch of SORA and Honia swaps, but timing is uncertain
CCPs postpone euro discounting switch to July
Five-week extension agreed after working group proposal for September delay fails to find consensus
SOFR discounting – Analysing the market impact
The switch to secured overnight financing rate (SOFR) discounting brings several complex issues and is impacting market practices. Ping Sun, senior vice‑president of financial engineering at Numerix, discusses the key issues, such as the differences…
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
LCH sets date for euro swap discounting change
Clearer will make switch for €91 trillion in swaps next June
Eurex to adopt €STR flat discounting for Euribor swaps
Switch planned for Q2 of 2020, with a single cash payment to correct value transfers
SOFR discounting switch splits Goldman and JP Morgan
CFTC committee calls on clearing houses to align timing and compensation mechanisms