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The LIBOR Risk report for Q1 contains important articles on :

Alternative risk-free rates
BoE’s new Sonia index gets a thumbs-up from issuers
by Natasha Rega-Jones
Calculating coupons based on compounded Sonia was “a real nightmare” for some

Swaps fallbacks
Sign up to fallback protocol or face ‘serious questions’, FCA warns
by Natasha Rega-Jones
The FCA urges derivatives users to accept Isda swap fallbacks to ensure compliance with benchmark law

Synthetic Libor
Synthetic Libor’s legal obstacles
by Helen Bartholomew
EU benchmark rules may thwart ‘tough legacy’ fix, reviving calls for blanket legislation

Libor fallbacks
The price of signing the fallback protocol
by Marc Henrard
As Orwell’s Room 101 beckons for Libor, muRisQ Advisory’s Marc Henrard warns of a potential pitfall in the fallback protocol

Hedge accounting
The price is… wrong
by Natasha Rega-Jones
Experts have raised concerns over IASB’s Phase II plans to move on from Libor, saying the proposals are confusing and leave scope for error

In depth: Libor fallbacks
Secrets and Libor fallbacks
by Kris Devasabai and Natasha Rega-Jones
Banks want to replace fallback language in loan docs and avoid relying on the cost-of- funds contingency

Benchmarks
Judgement day looms for dealers in swap shift to Sonia
by Natasha Rega-Jones
The UK financial regulator is pushing a first- quarter deadline for users to adopt the sterling market’s alternative risk-free rate as the norm for interdealer trades

LCH
Pre-cessation Ibor picture gets clearer
Philip Whitehurst, head of service development, rates at LCH, explores how the clearing house is working closely with industry bodies and listening to the views of market participants to preserve integrity and robustness in a transparent manner

Numerix
SOFR discounting – Analysing the market impact
Ping Sun, senior vice-president of financial engineering at Numerix, discusses the key issues, such as the differences between overnight index swaps curves and SOFR curves, the dynamics of SOFR discounting risk and the impact of SOFR discounting on future cashflows

KPMG
Operational uncertainty – An unavoidable challenge
KPMG‘s global Libor solution lead, Chris Dias, explores why firms will need to consider the impact of the transition on a number of overlapping dimensions, including strategy, risk, operations, finance, compliance, legal and clients

Managing the cost of transition and the risk of delay
A forum of industry leaders discusses key industry concerns around the transition away from Libor

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Photo by Micaela Parente on Unsplash