SOFR
Money funds get S&P green light to buy SOFR notes
After many funds were shut out of first SOFR issuance, agency has now approved new benchmark
Investors cheer debut Fannie SOFR note launch
Healthy demand could have been higher if S&P had approved benchmark
Fed’s Quarles critical of opaque Libor data
ARRC chair Sandra O’Connor also questions IBA transparency
First SOFR swaps trade as banks test new benchmark
First OTC trades include two basis swaps and an OIS trade, with JP Morgan thought to be a counterparty
US swaps users want CFTC rules lifted in Libor switch
Dodd-Frank should not catch contracts amended as part of move to new rates, letter argues
Pimco criticises LCH over SOFR plan
Senior official calls on CCP to follow CME and use SOFR for margin interest and discounting immediately
Libor transition calls for modelling overhaul, quants warn
All pricing, risk and valuation models will need to be changed to reflect the new rate
Clearers diverge on SOFR swaps discounting
CME switches to new rate for clearing; rival LCH stays with Fed funds
Libor transition raises basis risk fear
Shift to secured benchmark could cause dislocation between bank funding and lending rates
Fed adviser denies plan to ‘euthanise’ Libor
IBA agreement to keep the benchmark alive would be welcomed but comes with risks, says Bowman
EIB shrugs off term RFR worries with Sonia bond plan
Issuer to use daily compounded, backward-looking rate with time lag for sterling benchmark
Buy side frets over fallbacks in ‘zombie Libor’ scenario
Firms say any future plunge in number of Libor contributors should trigger switch to fallback rate
Libor expert: don’t rely on forward RFR rates for transition
Swaps users should embrace backward-looking risk-free rates instead, says chair of UK working group
Compression firms vie to ease Libor switch
Quantile and TriOptima launching services to tear up Libor swaps and replace with new rates
Libor death threatens to blow hole in hedges
Isda AGM: BlackRock, Fed stress need for fallbacks to marry up across rates universe
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
LCH and CME to start clearing SOFR swaps in third quarter
Scramble to offer clearing aimed at cutting clients’ margin and capital costs
Multicurve modelling is about to get more complex
Research into rates pricing is becoming more urgent given recent regulatory changes
Podcast: Mercurio on Libor, fraud and writing models on a plane
Post-Libor environment and financial crime detection to drive future research, says top quant
Fed finalises new market benchmarks
Three transaction-based alternatives to US dollar Libor to launch in 2018
FASB to vote on hedge accounting for US Libor successor
Standards body likely to approve SOFR as eligible