SOFR
SOFR phase-in for cash products sparks ‘mismatch’ fears
Official proposal for one-year transition period could lead to basis risk, participants say
Markit plans SOFR credit spread add-on using CDS data
Vendor taps vast pool of credit market data to create new benchmark “not dissimilar” to Libor
Fed does U-turn on SOFR loans
Libor rates to be used instead for four-year emergency lending schemes
First USD/CNY cross-currency swap using SOFR trades
Crédit Agricole and Bank of China’s $10m trade marks a new milestone for risk-free rate
Banks reject SOFR in Fed’s Covid lending schemes
Emergency loans to businesses get caught up in Libor transition
RFRs hit Main Street as Swiss banks launch Saron mortgages
Negative rates ease path for compounded Saron home loans without lags or lookbacks
How regional banks could shape US Libor replacement
Regulators convene working group to address credit sensitivity concerns
Lawyers pick holes in Libor statutory fix
US ‘tough legacy’ contracts open to legal challenge even if proposed New York law is passed
Top US banks issue $35bn of SOFR-linked debt in 2020 to date
Citi leads on notes placed year-to-date
SOFR trades transact below zero for the first time
A few traders paid around -0.02% to borrow Treasuries in exchange for cash
Libor webinar playback: spotlight on derivatives
Panellists from Deutsche Bank, LCH, Numerix and Tradeweb on transition timelines, volatility and discounting
Libor webinar playback: spotlight on bonds
Panellists from Lloyds, RBC Capital Markets and TD Securities discuss efforts to switch to new lending benchmarks
Covid-19 disruptions expose Libor loan fallback flaws
Amending legacy loans during a crisis will prove challenging, ARRC member warns
Libor-SOFR blowout raises questions for fallback rate
Implied three-month SOFR v Libor basis gapped to 108bp on March 19
Rate volatility highlights benchmark flaws
Libor and SOFR in spotlight following market rout, as both decouple from commercial paper
Pandemic threatens Libor transition plans
Resources diverted to Covid-19 response, as RFR-Libor basis spikes on stress
SOFR drought, CB accounts for CCPs, and the Top 10 Op Risks
The week on Risk.net, February 29–March 6, 2020
Fed funds swaptions offer SOFR alternative
Investors dry-run systems using familiar overnight rate, as markets wait for SOFR liquidity to build
FCA: sign up to fallback protocol or face ‘serious questions’
UK regulator urges derivatives users to accept Isda swap fallbacks to ensure compliance with benchmark law
BoE to publish ‘golden source’ compounded Sonia index in July
UK to align with US in effort eliminate interest calculation mismatches and turbo-charge adoption
Synthetic Libor faces legal obstacles
EU benchmark rules may thwart ‘tough legacy’ fix, reviving calls for blanket legislation
‘Rounding errors’ prompt EBRD to break with Sonia FRN norms
Index-friendly coupon structure touted as a template for future issuance in the UK market
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…