LIBOR and the Loan Market
|
|
- Jeremy Moody
- 6 years ago
- Views:
Transcription
1 LIBOR and the Loan Market Moderator: Panelists: Ellen Hefferan, Executive Vice President of Operations and Accounting LSTA Diane Carleton, Credit Services Executive, Senior Vice President - Bank of America Merrill Lynch Meredith Coffey, Executive Vice President of Research and Regulation - LSTA Jeanne Naughton-Carr, Managing Director and Senior Managing Counsel BNY Mellon LSTA Operations Conference April 24, 2018
2 LIBOR Transition What s the Problem? What s the Proposed Solution (SOFR) What are the Problems with the Proposed Solution Ways to Tackle the Problems 2
3 The Fundamental LIBOR Problem in Words Over $200 trillion of financial contracts are tied to LIBOR LIBOR is increasingly fragile, banks do not want to submit LIBOR quotes, and LIBOR potentially will cease after YE2021 So Does there need to be a replacement rate? must assume that there will be What should it be? highest probability is SOFR What are some of the issues? SOFR (overnight, secured) is very different from LIBOR (term, unsecured) How do we get there? A lot of phased work What is our timeframe? End of 2021 for everything completed How do we operationalize all this? TBD 3
4 The Fundamental LIBOR Problem in Pictures $200 TRILLION OF LIBOR BASED CONTRACTS There is massive reliance on a small, fragile and potentially shrinking base rate Priced off $500 million of daily Interbank (LIBOR) trading 4
5 What Might Replace LIBOR? Potentially SOFR $754 SOFR SOFR Daily Trading Around $750 Billion Daily LIBOR Transaction Volume Around $500 Million $197 O/N Bank Funding $79 Effect. Fed Funds $13 $0.50 $0.34 $ mo T- Bill 3-mo LIBOR 3-mo AA CP 3-mo A2/P2 CP Many asset classes rely on LIBOR, with combined exposure of $200 trillion-plus ($4 trillion for syndicated loans) There is little trading in the inter-bank funding (LIBOR) market like $500M daily in 3M LIBOR Globally, policymakers and markets have looked for IBOR replacements All rates identified are overnight rates, because that is where actual transactions are Sterling Sonia Euro Eonia (maybe) Yen TONAR CHF SARON US has selected SOFR for US$ Swaps A combination of 3 Treasury repo rates Very deep, very liquid But very different from LIBOR Source: ARCC, LSTA 5
6 Comparison of LIBOR and SOFR LIBOR Unsecured Reflects bank cost of funds(ish) Widens to reflect COF in stress periods Term structure Established and well understood Not liquid, deep, transparent $500 million of daily trading Easily manipulated In millions of long-dated contracts SOFR Secured Risk-free rate Will not widen in periods of credit stress Overnight (to begin) New and not well understood Will be liquid and deep Over $700 billion of daily trading Will not be easily manipulated Not in contracts yet 6
7 SOFR Should be Lower than LIBOR, But Mo LIBOR vs 3-Mo Compounded Secured Overnight Funding Rate 7 LIBOR vs. OIS Bps LIBOR SOFR % M LIBOR 3M OIS Nov-14 Mar-15 Aug-15 Dec-15 Apr-16 Aug-16 Source: FRBNY, St Louis Fed Jan-17 0 Jan-05 Jan-07 Jan-09 Jan-11 Jan-13 Jan-15 Jan-17 Source; ARRC Based on historical data calculated by FRBNY, 3M SOFR should be modestly lower than 3M LIBOR However, in periods of credit stress, LIBOR gaps out and bank COF widens while SOFR is flat or may decline 7
8 Actual Initial SOFR Behavior Early Days: O/N SOFR vs. O/N LIBOR O/N LIBOR O/N SOFR (published) O/N SOFR (revised) 1.75 Rate (%) Apr 3-Apr 4-Apr 5-Apr 6-Apr 7-Apr 8-Apr 9-Apr 10-Apr11-Apr12-Apr13-Apr14-Apr15-Apr16-Apr17-Apr SOFR publication began April 3, 2018 SOFR was volatile around quarter-end (like many repo rates) SOFR has since been more stable, but is above O/N LIBOR *There was a slight snafu in early publishing, which created a 1-2 bps differential in several days* Source: FRBNY, WSJ 8
9 What Do We Need to Do to Prepare for Transition (Across Asset Classes) The ARRC is focused and working hard on fixes! The ARRC (Alternative Reference Rates Committee) was launched in 2014, focusing on developing a replacement rate for derivatives (which was seen as the biggest systemic risk) In 2017, it identified SOFR as the swaps replacement rate In 2018, it reconstituted itself to also focus on cash markets (syndicated loans, FRNs, mortgages, consumer loans, securitizations, CLOs, etc.) The LSTA is a member of the ARRC and co-chairs the CLO and Business Loans Working Group There is concerted effort to develop solutions that work across asset classes 9
10 What Do We Need to Do to Prepare for Transition (For Loans) Developing robust (and improving) fallback language Better amendment language Hardwired fallbacks? Developing a term structure SOFR is overnight only now LIBOR has a term structure; participants say they need 1-month, 3-month terms Developing a credit spread adjustment SOFR should be lower than LIBOR Should SOFR have a Credit Spread Adjustment (CSA)? If so, should it be Static (e.g., calculated once?) Dynamic (e.g., recalculated as bank credit risk changes?) Operationalize all this! Do it before the end of 2021!! 10 10
11 Polling Question #1 Has your institution begun to discuss operational concerns regarding the upcoming transition of LIBOR to another rate? A. Yes, we are so immersed in these discussions that I now dream about SOFR B. Yes, we are now beginning to have the conversation C. No, we haven t begun to discuss this D. SOFR, so what?... 11
12 Case Study # 1: Lending /Servicing Today and in 2022 TODAY To Establish a loan contract: LIBOR + Margin LIBOR is an unsecured rate and incorporates a bank cost of funds concept Use the LIBO Rate that is set two (2) Business Days prior to the commencement of the new contract. Margin set forth in the Credit Agreement LIBO Rate London Interbank Offered Rate for deposits in applicable currency is set by the ICE Benchmark Administration and published by ICE at approximately 11:00 am London time on such day (or EARLIER..) To establish a loan contract: SOFR (secured risk-free rate) +/- Credit Spread Adjustment (to reflect bank cost of funds ) + Margin Establish where and when SOFR rates and applicable Credit Spread Adjustments will be published E.g. Published on page on Thomson Reuters screen same day/one day prior to the beginning of the new contract at 11:00 AM ET. Complication will spread be dynamic or static? Or will spread be added to or subtracted from the margin by each bank? Either create separate fields within all systems that will utilize this rate and spread or one field that will incorporate both SOFR and the Credit Spread Adjustment. Fields will be needed for overnight as well as term rate (e.g. 30 and/or 90 day). System must be flexible enough to accommodate multiple term rates. Build feeds from provider in order to populate the rates and spreads systemically on a daily basis. This cannot be a manual process. Margin is established in the Credit Agreement Expect to have LIBOR and SOFR as dual options for a period of time. Revise credit documentation to reflect SOFR and Credit Spread Adjustments. 12
13 Case Study # 2: Multi-Currency Facilities Today and in 2022 TODAY 2022 (or EARLIER..) just got complicated LIBOR is published for five different currencies: US Dollar Euro British Pound Sterling Japanese Yen Swiss Franc Maturity Lengths (Terms) US SOFR (secured risk-free rate) +/- Credit Spread Adjustment EURO Eonia (unsecured rate) +/- Credit Spread Adjustment? Pound Sterling Sonia (unsecured rate) +/- Credit Spread Adjustment? Japanese Yen (TONAR?) (unsecured rate) +/- Credit Spread Adjustment? Swiss Franc SARON (secured risk-free rate) +/- Credit Spread Adjustment? Establish when and where currency rates will be available/published (realistically will be published at different times and places) 2 days prior, 1 day prior, day of (may vary among rates) Process all separately Build feeds from provider(s) in order to populate the rates systemically on a daily basis. This cannot be a manual process. Expect to have LIBOR and alternate currency rates available during the transition period Revise credit documentation to reflect the additional rates, rate settling and optionality within the rates. 13
14 Case Study # 3: Settlement Today and in 2022 TODAY Funding Memo includes: Current contract details (LIBOR + Margin) on existing Borrowings Purchase Price: Delayed Comp calculations Buyer pays the interest accrued during the Delay Period at the Average LIBO Rate (cost of carry) Seller pays interest and accruing fees allocable to the Delay Period (case study #1) Average LIBO Rate means for the Delay Period (i) the sum of all the individual LIBO Rates for each day in the period from (and including) the date two (2) Business Days before the Commencement Date and to (but excluding) the date that is two (2) business Days before the Delayed Settlement Date (ii) divided by the total number of days in the period. averagelibor.com is a website established as a service to the loan trading market to calculate the average London Interbank Offered Rate (LIBOR) for a given period of time (or EARLIER..) just got complicated Operations will calculate the delayed compensation based on the new rates Because the cost of carry will include SOFR +/- Credit Spread Adjustment but NOT the margin it will be necessary to have 3 separate fields. There will be a need for platform(s) to calculate Average SOFR +/- Credit Spread Adjustment and the Average Rates for each of the additional currencies +/- Credit Spread Adjustments, as applicable, in order to account for the Cost of Carry element. 14
15 Polling Question #2 What can you do? A. Bring an awareness of the LIBOR transition to your operational team B. Speak with your treasury / custodian to see if they are aware of issues that need to be addressed C. Ask your accountants and tax colleagues to join the LSTA LIBOR accounting and tax working group D. All of the above 15
16 It is Possible that LIBOR Won t End Shortly After End 2021 But You Have to Take Action As If Is! 16
2021: A Benchmark Odyssey
2021: A Benchmark Odyssey January 2018 Andrew Bailey announced the FCA s intention to withdraw its support for LIBOR last July. In November it was confirmed that the banks participating in LIBOR have agreed
More informationRecent History 2013 International Organization of Securities Commissions Financial Stability Oversight Council 2014 Financial Stability Board 2017
Reference Rates 2013 Recent History International Organization of Securities Commissions published a set of principles for financial benchmarks stating that benchmark rates should be: Anchored in observable
More informationThe Leveraged Loan Market 2017 Review and 2018 Preview. Meredith Coffey, LSTA
The Leveraged Loan Market 217 Review and 218 Preview Meredith Coffey, LSTA 1 On Deck for Today The 217 technical picture What it meant for T&Cs Where 218 may go Public sector plans, private sector impacts?
More informationOverview of the Risk-Free Rate Transition
Overview of the Risk-Free Rate Transition Working Group on Sterling Risk-Free Reference Rates: Infrastructure Forum 31 January 2019 The FSB s multiple rate approach The FSB s 2014 report built on the work
More informationIBOR Fallbacks for 2006 ISDA Definitions FAQs
IBOR Fallbacks for 2006 ISDA Definitions FAQs 1. How were the fallback rates determined? ISDA determined, after consultation with its members, other industry participants, regulators and the Financial
More informationInvesco Fixed Income Investment Insights What may LIBOR s phase-out mean for investors?
Invesco Fixed Income Investment Insights What may LIBOR s phase-out mean for investors? October 2018 Key takeaways With the phasing out of the London interbank offered rate (LIBOR), a new, more transparent
More informationLeveling the Playing Field What Will Happen to LIBOR - Q3 2017
Leveling the Playing Field What Will Happen to LIBOR - Q3 2017 The financial industry is trying to create a realistic alternative to LIBOR, but it will be challenging to switch seamlessly over to a newly
More informationSo Long, Libor: Transition Is Underway to SOFR and Other Alternative Reference Rates
So Long, Libor: Transition Is Underway to SOFR and Other Alternative Reference Rates September 4, 2018 by Courtney Garcia, Jerome Schneider of PIMCO SUMMARY Over the past year, industry leaders and regulators
More informationPhase-Out of LIBOR: Impact on Floating Rate Loans and Derivatives; Implementing New Reference Rates
Presenting a live 90-minute webinar with interactive Q&A Phase-Out of LIBOR: Impact on Floating Rate Loans and Derivatives; Implementing New Reference Rates TUESDAY, JULY 10, 2018 1pm Eastern 12pm Central
More informationMoving with the change
Moving with the change Planning and preparing a move toward alternative reference rates kpmg.com Zurich Market reform around benchmark rates has been in the works since the Wheatley Review 1 was released
More informationThe Alternative Reference Rates Committee. Sandra O Connor, Chair Chief Regulatory Officer, JP Morgan Chase & Co.
The Alternative Reference Rates Committee Sandra O Connor, Chair Chief Regulatory Officer, JP Morgan Chase & Co. 1 Evaluation Criteria for Potential Alternative Reference Rates Benchmark Quality: The degree
More informationFrom LIBOR to SOFR: An Unexpected Journey
From LIBOR to SOFR: An Unexpected Journey An update on the transition from LIBOR to the Secured Overnight Financing Rate Garret Sloan, CFA Head of Short-term Fixed Income Market Strategy Wells Fargo Securities
More informationPreparing for transition: Update on LIBOR and a possible shift to alternative reference rates MARCH 2018
Preparing for transition: Update on LIBOR and a possible shift to alternative reference rates MARCH 2018 Prepared by: The Regulatory Strategy and Engagement team within RBC Capital Markets Transformation
More informationINTEREST RATE BENCHMARKS REVIEW Third Quarter of 2018 and Nine Months Ended September 30, 2018
November 2018 INTEREST RATE BENCHMARKS REVIEW Third Quarter of 2018 and Nine Months Ended September 30, 2018 As the financial industry is preparing to transition from LIBOR and other interbank offered
More informationIBOR transition. A Swiss perspective. August 2018
IBOR transition A Swiss perspective August 2018 End of the (L)IBOR era Interbank offered rates (IBORs) are deeply embedded in a broad range of financial activities. IBORs serve as reference rates for financial
More informationAlternative Reference Rate for. Hong Kong Interbank Offered Rate (HIBOR) - Consultation with. Industry Stakeholders. Treasury Markets Association
Alternative Reference Rate for Hong Kong Interbank Offered Rate (HIBOR) - Consultation with Industry Stakeholders Treasury Markets Association April 2019 About this document 1. This paper is published
More informationIntroduction. Interim Report and Consultation The Alternative Reference Rates Committee
Introduction Interim Report and Consultation The Alternative Reference Rates Committee 1 Alternative Rates Interim Report and Consultation The Alternative Reference Rates Committee 2 Alternative Rates
More informationComments on the ARRC Consultation Regarding More Robust LIBOR Fallback
November 26, 2018 The Secretariat of the Alternative Reference Rates Committee (via Email: arrc@ny.frb.org) Comments on the ARRC Consultation Regarding More Robust LIBOR Fallback Contract Language for
More informationLIBOR 2021 FRANCIS EDWARDS AND DAUWOOD MALIK APRIL 2018
FRANCIS EDWARDS AND DAUWOOD MALIK APRIL 2018 OVERVIEW LIBOR currently a key interest rate benchmark for global financial system for a large volume ($350 trillion or more?) and broad range of financial
More informationLIBOR: The World s Biggest Number in Transition
LIBOR: The World s Biggest Number in Transition Panelists: David Bowman Federal Reserve Ming Min Lee Oliver Wyman Ann Battle ISDA Meredith Coffey LSTA Jennifer Earyes Navient Mack Makode Under Armour Polling
More informationINTEREST RATE BENCHMARKS REVIEW: Full Year 2018 and the Fourth Quarter of 2018
January 2019 INTEREST RATE BENCHMARKS REVIEW: Full Year 2018 and the Fourth Quarter of 2018 This report provides an analysis of trading volumes of interest rate derivatives (IRD) transactions in the US
More informationAsia Securities Industry & Financial Markets Association Transition from LIBOR to Replacement Benchmarks
Asia Securities Industry & Financial Markets Association Transition from LIBOR to Replacement Benchmarks June 13, 2018 Asian Regional PDM Forum, Koh Samui, Thailand www.asifma.org Follow ASIFMA on Twitter
More informationThe Bank of Nova Scotia -- Response
ARRC CONSULTATION REGARDING MORE ROBUST LIBOR FALLBACK CONTRACT LANGUAGE FOR NEW ORIGINATIONS OF LIBOR SYNDICATED BUSINESS LOANS The Bank of Nova Scotia -- Response Question 1. If the ARRC were to adopt
More informationCLIENT USE ONLY - NOT FOR DISTRIBUTION TO THE GENERAL PUBLIC.
LIBOR Transition 2018 Goldman Sachs does not provide accounting, tax or legal advice. Please note that these materials are for informational purposes only and do not provide any recommendation to buy or
More informationPhase-Out of LIBOR: Impact on Floating Rate Loans and Derivatives; Implementing Alternative Reference Rates
Presenting a 90-minute encore presentation featuring live Q&A Phase-Out of LIBOR: Impact on Floating Rate Loans and Derivatives; Implementing Alternative Reference Rates WEDNESDAY, JANUARY 3, 2018 1pm
More informationA Future without LIBOR?
A Future without LIBOR? PARTICIPANTS MODERATOR Danielle Fugazy contributing editor, SourceMedia Alan Geraghty Group Vice President, Global Capital Markets - Europe, Wilmington Trust As 2021 fast approaches,
More informationIntroduction. Loan Market Association Association of Corporate Treasurers
1 Contents Introduction Background to LIBOR reform Financial Conduct Authority speeches Alternative risk free rates Implications for financial markets general loans bonds derivatives LIBOR and the LMA
More informationLiquidity is Relevant Again
Liquidity is Relevant Again April 2019 Not FDIC Insured May Lose Value No Bank Guarantee Not NCUA or NCUSIF insured. May lose value. No credit union guarantee. For institutional use only. l 2019 FMR LLC.
More informationARRC CONSULTATION REGARDING MORE ROBUST LIBOR FALLBACK CONTRACT LANGUAGE FOR NEW ORIGINATIONS OF LIBOR BILATERAL BUSINESS LOANS December 7, 2018
TABLE OF CONTENTS ARRC CONSULTATION REGARDING MORE ROBUST LIBOR FALLBACK CONTRACT LANGUAGE FOR NEW ORIGINATIONS OF LIBOR BILATERAL BUSINESS LOANS December 7, 2018 Part I: ARRC Consultation Overview...1
More informationTuesday, April 9, 2019
Prepare, Don t Panic For the Move Away From LIBOR Moderator: Panelists: Ellen Hefferan, EVP, Operations and Accounting LSTA John Drummey, Vice President, State Street Global Services Nina Guinchard, Director,
More informationMoving to new risk-free rates
Moving to new risk-free rates Why asset managers need to prepare for the transition from IBORs January 2019 kpmg.com/evolvinglibor 2 Why Asset Managers need to prepare for change Introduction European
More informationSecond Report. The Alternative Reference Rates Committee March 2018
Second Report The Alternative Reference Rates Committee March 2018 I. Background The Financial Stability Board (FSB) and Financial Stability Oversight Council (FSOC) have both publicly recognized for some
More informationMoving with the change
Moving with the change Planning and preparing a move toward alternative reference rates kpmg.ca A Canadian perspective For a number of years now, regulators, central banks, and the industry alike have
More informationISDA Symposium - Financial Benchmarks Scott O Malia, Chief Executive, ISDA June 15, 2017, 9am Risk-free Rates
ISDA Symposium - Financial Benchmarks Scott O Malia, Chief Executive, ISDA June 15, 2017, 9am Good morning, and welcome to ISDA s benchmark symposium. This event comes at an opportune time. Next week,
More informationARRC Bilateral Business Loans Consultation Response The Huntington National Bank
ARRC Bilateral Business Loans Consultation Response The Huntington National Bank Question 1. If the ARRC were to adopt one or more sets of bilateral business loan fallback language, which one or both of
More informationTransition to SARON. SIX-ICMA-Event: LIBOR to SARON are you ready? Dr. Martin M. Bardenhewer Co-Chair National Working Group
Transition to SARON SIX-ICMA-Event: LIBOR to SARON are you ready? Dr. Martin M. Bardenhewer Co-Chair National Working Group The LIBOR problem 100% USD LIBOR 100% CHF LIBOR 75% 75% 50% 50% 25% 0% ON/SN
More informationIntroducing ESTER, the euro s new reference rate
Introducing ESTER, the euro s new reference rate By Menno Altena and Oliver Warren December 2018 Intended exclusively for professional clients/institutional investors and not for retail clients. Introducing
More informationNOT SOFR AWAY: LIBOR TRANSITION BEGINS
Financial Services NOT SOFR AWAY: LIBOR TRANSITION BEGINS AUTHORS Oliver Wyman LIBOR Transition Team NOT SOFR AWAY: LIBOR TRANSITION BEGINS Transitioning away from LIBOR is likely to be a complex, expensive,
More informationFrom LIBOR to SOFR. Interest Rates 25 November Why the Change? SOFR is closer to the Fed Fund Target Rate. LIBOR SOFR: Key differences
From LIBOR to SOFR After years of concerns relating to the LIBOR s vulnerability to manipulation, the UK Financial Conduct Authority has decided that it will no longer collect LIBOR quotes from participating
More informationComments on the Consultation on Interbank Offered Rate (IBOR) Fallbacks for 2006 ISDA Definitions
October 22, 2018 International Swaps and Derivatives Association, Inc. (via Email: FallbackConsult@isda.org) Comments on the Consultation on Interbank Offered Rate (IBOR) Fallbacks for 2006 ISDA Definitions
More informationBenchmark reform: transition from IBORs to risk-free rates in the Euro area
Association for Financial Markets in Europe Benchmark reform: transition from IBORs to risk-free rates in the Euro area Richard Hopkin Managing Director and Head of Fixed Income ECB Bond Market Contact
More informationUCL Financial Mathematics Practitioners Seminar
UCL Financial Mathematics Practitioners Seminar Game of Benchmarks: LIBOR and IRON thrones Marc Henrard Advisory Partner - OpenGamma Visiting Professor - University College London UCL Practitioners Seminar
More informationThe accounting impact of the LIBOR transition
The accounting impact of the LIBOR transition Uncover the potential accounting impact of a shift in benchmark rate The London Interbank Offered Rate (LIBOR) is expected to be phased out after 30 long years,
More informationDerivative contract robustness to risks of interest rate benchmark discontinuation
April 10, 2019 Andrew Bailey Chief Executive Officer UK Final Conduct Authority John Williams President and Chief Executive Officer Federal Reserve Bank of New York Co-Chairs Official Sector Steering Group
More informationARRC CONSULTATION REGARDING MORE ROBUST LIBOR FALLBACK CONTRACT LANGUAGE FOR NEW ISSUANCES OF LIBOR FLOATING RATE NOTES September 24, 2018
ARRC CONSULTATION REGARDING MORE ROBUST LIBOR FALLBACK CONTRACT LANGUAGE FOR NEW ISSUANCES OF LIBOR FLOATING RATE NOTES September 24, 2018 TABLE OF CONTENTS Part I: ARRC Consultation Overview... 2 A. Background...
More informationEnd of an IBOR era. Key transition challenges for the financial services industry
End of an IBOR era Key transition challenges for the financial services industry After more than 40 years of the financial services industry relying on interbank offered rates (IBORs) as a reference rate
More informationAFS Survey Results on Bank Preparations for LIBOR Replacement
AFS Survey Results on Bank Preparations for LIBOR Replacement January 2018 Value Solutions Responsibilities Statement of Confidentiality The contents of this document represent proprietary information
More informationCredit mitigation and strategies with credit derivatives: exploring the default swap basis
Credit mitigation and strategies with credit derivatives: exploring the default swap basis RISK London, 21 October 2003 Moorad Choudhry Centre for Mathematical Trading and Finance Cass Business School,
More informationRisk-Free Rates of Return
Risk-Free Rates of Return Malcolm Kemp, Andrew D Smith (Working Party Members) malcolm.kemp@threadneedle.co.uk AndrewDSmith8@deloitte.co.uk 16:00 16:50 3, 6, 18 & 25 November, 2008 Current Issues In Pensions
More informationWhat May LIBOR's Phase-Out Mean for Investors?
What May LIBOR's Phase-Out Mean for Investors? October 1, 2018 by Justin Mandeville, Jacob Habibi of Invesco In the past few years, the London interbank offered rate (LIBOR) has faced well-publicized challenges.
More informationChapter VIII of the Clearing Conditions of Eurex Clearing AG. Clearing of OTC Derivative Transactions
Chapter VIII of the Clearing Conditions of Eurex Clearing AG Clearing of OTC Derivative Transactions As of 09.10.2017 Page 2 **********************************************************************************
More informationWhat will be the future of LIBOR?
What will be the future of LIBOR? LIBOR manipulations consequences LIBOR (i.e. London Interbank Offered Rate ) has been a great stabilizing influence in the world s debt capital markets. It also facilitated
More informationLIBOR What to do Now. New York Wednesday, November 28, 2018
LIBOR What to do Now New York Wednesday, November 28, 2018 History of LIBOR and the Transition Away From LIBOR Stuart M. Litwin Co-Head, Structured Finance Practice slitwin@mayerbrown.com +1 312 701 7373
More informationMarket Bulletin. The LIBOR spike. May 1, In brief. What is LIBOR and why does it matter?
Market Bulletin May, 8 The LIBOR spike In brief One of the most important interest rates in global financial markets, U.S. LIBOR, has spiked causing some investors to fear that there is a fundamental problem
More informationARRC CONSULTATION NEW ISSUANCES OF LIBOR SECURITIZATIONS December 7, 2018
ARRC CONSULTATION NEW ISSUANCES OF LIBOR SECURITIZATIONS December 7, 2018 TABLE OF CONTENTS Part I: ARRC Consultation Overview...2 A. Background... 2 B. An Explanation of SOFR and Differences between SOFR
More information6.1 Government of Pakistan Treasury Bills
6.1 Government of Pakistan Treasury Bills PERIODS (Million Rupees) 3 Months Treasury Bills 6 Months Treasury Bills Discount Discount Outstanding Discount Issue Allowed Discharged Paid Balance Issue Allowed
More informationFinancial Highlights
November 16, 2011 Financial Highlights Federal Reserve Balance Sheet 1 Europe European Bond Spreads 2 Mortgage Markets Mortgage Rates 3 Mortgage Applications Consumer Credit Revolving and Nonrevolving
More informationAFME Member Briefing. Phasing out IBORs: What does the transition to new risk-free rates mean for the industry?
Association for Financial Markets in Europe AFME Member Briefing Phasing out IBORs: What does the transition to new risk-free rates mean for the industry? 20 June 2018 Iain Budge, Vice President, UK &
More informationSpeech. Embargo 22 September 2017, am. Dewet Moser
Speech Embargo 22 September 2017, 11.00 am The international reform process so far and the importance of interest rate benchmarks from a central bank perspective Joint Event SIX Swiss Exchange and SFAA
More informationFair Forward Price Interest Rate Parity Interest Rate Derivatives Interest Rate Swap Cross-Currency IRS. Net Present Value.
Net Present Value Christopher Ting Christopher Ting http://www.mysmu.edu/faculty/christophert/ : christopherting@smu.edu.sg : 688 0364 : LKCSB 5036 September 16, 016 Christopher Ting QF 101 Week 5 September
More informationLIBOR Transition Planning the transition to new risk free rates
LIBOR Transition Planning the transition to new risk free rates November 2018 kpmg.ch LIBOR Transition 3 Contents SECTION 01 Introduction 03 SECTION 02 Transition challenges 10 SECTION 03 Actions required
More informationWhat you need to know before LIBOR disappears
What you need to know before LIBOR disappears Impact on Swaps and Variable Rate Debt Date: August 22, 2017 By: Chuck Kirkpatrick 615-613-0215 www.ponderco.com What you need to know before LIBOR disappears
More informationAntitrust: Commission fines banks 1.71 billion for participating in cartels in the interest rate derivatives industry - frequently asked questions
EUROPEAN COMMISSION MEMO Brussels, 4 December 2013 Antitrust: Commission fines banks 1.71 billion for participating in cartels in the interest rate derivatives industry - frequently asked questions See
More informationDiscounting. Jeroen Kerkhof. 22 September c Copyright VAR Strategies BVBA 1 / 53
Discounting Jeroen Kerkhof 22 September 2010 c Copyright VAR Strategies BVBA 1 / 53 Overview c Copyright VAR Strategies BVBA 2 / 53 Time Value of Money c Copyright VAR Strategies BVBA 3 / 53 Time Value
More informationFallbacks for Derivatives Background and Role of A Vendor. January 2019
Fallbacks for Derivatives Background and Role of A Vendor January 2019 IBOR Fallbacks: ISDA s Work ISDA is currently undertaking work to amend the 2006 ISDA Definitions to implement fallbacks for: LIBOR
More informationREG IASB Meeting IBOR Reform and the Effects on Financial Reporting
IASB STAFF PAPER December 2018 REG IASB Meeting Project Paper topic IBOR Reform and the Effects on Financial Reporting Research findings CONTACT(S) Fernando Chiqueto fchiqueto@ifrs.org +44 (0) 20 7246
More informationCLOs Today. Moderator: Meredith Coffey, LSTA
CLOs Today Moderator: Meredith Coffey, LSTA Panelists: Wynne Comer, Bank of America Merrill Lynch Mary Katherine DuBose, Wells Fargo Tricia Hazelwood, Mitsubishi UFJ Jane Lee, Blackstone GSO Josh Terry,
More informationSummary of responses. February Executive summary
Second public consultation by the working group on euro risk-free rates on determining an ESTER-based term structure methodology as a fallback in EURIBOR-linked contracts Summary of responses 1 Executive
More informationDevelopment of Fallbacks for LIBOR and other Key IBORs. Work of the FSB OSSG and ISDA
Work of the FSB OSSG and ISDA Development of Fallbacks for IBORs Background Recent FSB Official Sector Steering Group (OSSG) Market Participants Group Final Report (July 2014) In most cases, fallback provisions
More informationLIBOR TRANSITION ROADMAP FOR INVESTMENT MANAGERS. February 2019
LIBOR TRANSITION ROADMAP FOR INVESTMENT MANAGERS February 2019 1 THE INVESTMENT ASSOCIATION The Investment Association (the Association ) has made available to its members the LIBOR Transition Roadmap
More informationIntroduction to Interest Rate Trading. Andrew Wilkinson
Introduction to Interest Rate Trading Andrew Wilkinson Risk Disclosure Futures are not suitable for all investors. The amount you may lose may be greater than your initial investment. Before trading futures,
More informationLOAN MARKET DATA AND ANALYTICS BY THOMSON REUTERS LPC
LOAN MARKET DATA AND ANALYTICS BY THOMSON REUTERS LPC GLOBAL LOAN MARKET DATA AND ANALYTICS BY THOMSON REUTERS LPC Secondary Market Bid Levels: Europe Slide 2 European CLO New Issue Volume Monthly Slide
More informationHeir to LIBOR. The Background Why? November 2017
November 2017 Heir to LIBOR For many of us in the U.S., the UK Financial Conduct Authority s (FCA) decision to abolish LIBOR by the end of 2021 is a non-event, not to mention it is still four years away
More informationCHF LIBOR, JPY LIBOR, TIBOR,
Interbank Offered Rate (IBOR) Fallbacks for 2006 ISDA Definitions Consultation on Certain Aspects of Fallbacks for Derivatives Referencing GBP LIBOR, 1 CHF LIBOR, JPY LIBOR, TIBOR, Euroyen TIBOR and BBSW
More informationItem 3 Overview of relevant developments related to benchmark reforms
Cornelia Holthausen European Central Bank Item 3 Overview of relevant developments related to benchmark reforms Meeting of the Working Group on Euro Risk-Free Rates Frankfurt, 20 April 2018 Rubric Overview
More informationArbitrage Activities between Offshore and Domestic Yen Money Markets since the End of the Quantitative Easing Policy
Bank of Japan Review 27-E-2 Arbitrage Activities between Offshore and Domestic Yen Money Markets since the End of the Quantitative Easing Policy Teppei Nagano, Eiko Ooka, and Naohiko Baba Money Markets
More informationFBIL. Newsletter FROM CHAIRPERSON S DESK: Section 1: New Developments. Section 2: MARKET WATCH ISSUE:1 MARCH 2019
ISSUE:1 MARCH 2019 FROM CHAIRPERSON S DESK: FBIL is recognized by the Reserve Bank of India as a benchmark administrator for money foreign exchange and government securities markets. In the four years
More informationFrom LIBOR to SOFR: A Multi-Maturity Clock Auction Design
From LIBOR to SOFR: A Multi-Maturity Clock Auction Design Haoxiang Zhu Associate Professor of Finance, MIT Sloan Faculty Research Fellow, NBER Benchmark Rates Forum New York, June 7, 2018 I thank David
More informationRecent developments in Money Markets Johan Evenepoel
Recent developments in Money Markets Johan Evenepoel November 6th, 2017 1 Main drivers of Money Markets today (1/3) Monetary policy developments (1/2) Global reflation trade making a comeback in the main
More informationIntroducing the Secured Overnight Financing Rate (SOFR) Joshua Frost Senior Vice President, Markets Group, FRBNY November 2, 2017 ARRC Roundtable
Introducing the Secured Overnight Financing Rate (SOFR) Joshua Frost Senior Vice President, Markets Group, FRBNY November 2, 2017 ARRC Roundtable SOFR: The Selected Alternative to LIBOR The New York Fed,
More informationIntroducing the Secured Overnight Financing Rate (SOFR) Joshua Frost Senior Vice President, Markets Group, FRBNY November 2, 2017 ARRC Roundtable
Introducing the Secured Overnight Financing Rate (SOFR) Joshua Frost Senior Vice President, Markets Group, FRBNY November 2, 2017 ARRC Roundtable SOFR: The Selected Alternative to LIBOR The New York Fed,
More informationThe demise of LIBOR What next? THE DEMISE OF LIBOR WHAT NEXT?
THE DEMISE OF LIBOR WHAT NEXT? This white paper provides a snapshot of what has been agreed to date and looks at where we are likely to go moving forward. It also considers how Calypso could help; where
More informationDocket Number OP-1573, Request for Information Relating to Production of Rates
Ann E. Misback 20 th Street and Constitution Avenue NW, Washington, DC 20551 Re: Docket Number OP-1573, Request for Information Relating to Production of Rates Dear Ms. Misback: The Securities Industry
More informationPage 1 of 6 BBA website Member Sign in: Username Forgotten password? Home News & Releases bbalibor Explained Historical Perspective The Basics Frequently Asked Questions Definitions My mortgage & bbalibor
More informationRI GFOA. May 17, Michael Morin, CFA SVP, Head of Liquidity Management Solutions. Jim Scalisi Vice President Relationship Manager
RI GFOA May 17, 2018 Michael Morin, CFA SVP, Head of Liquidity Management Solutions Jim Scalisi Vice President Relationship Manager Not FDIC Insured May Lose Value No Bank Guarantee Not NCUA or NCUSIF
More informationSONET Sterling Secured Overnight Executed Transactions
SONET Sterling Secured Overnight Executed Transactions Update: February 2017 Contacts: Oliver Huggins & Chris Woods Phone: +44 20 7797 1000 Email: SONET@FTSERussell.com Disclaimer This document has been
More informationFinancial Highlights
January 6, 2010 Financial Highlights Federal Reserve Balance Sheet 1 Agency Debt and MBS Purchases 2 Commercial Mortgage Backed Securities Issuance and Spreads 3 CMBS TALF Operations 4 Broad Financial
More informationEuro GC Pooling. Continues Dynamic Growth. Frankfurt, February 29, 2008
Continues Dynamic Growth Frankfurt, February 29, 2008 Agenda Introduction Eurex Repo: Latest Development Euro GC Pooling: Overview and latest Development Outlook Page 2 Eurex Repo Development of Outstanding
More informationONIA Swap Index. The derivatives market reference rate for the Euro
ONIA Swap Index The derivatives market reference rate for the Euro Contents Introduction 2 What is an EONIA Swap? 3 4 EONIA SWAP INDEX The new benchmark 5 8 EONIA 9 Basis Swaps 10 IRS with EONIA SWAP INDEX
More informationThe European Union Benchmarks Regulation ('BMR')
The European Union Benchmarks Regulation ('BMR') 20 Sep 2018 The BMR regulates indices used as benchmarks in nancial instruments and nancial contracts (and/or to measure the performance of investment funds)
More informationA Deeper Look at the Rise in Libor
KEY TAKEAWAYS A Deeper Look at the Rise in Libor September 1, 2016 by Anthony Valeri of LPL Financial 3-month U.S. dollar Libor has increased by 0.2% over the past two months, which carries almost the
More informationPowers in relation to LIBOR contributions
Policy Statement PS18/5 March 2018 PS18/5 This relates to Contents Consultation Paper 17/15 which is available on our website at www.fca. org.uk/publications/consultation/ cp17-15.pdf Please send any comments
More informationFUTURES ON DTCC GCF REPO INDEX
FUTURES ON DTCC GCF REPO INDEX.. WHAT IS GCF REPO? GCF stands for, General Collateral Finance. It is a trading platform that member banks (60) use to finance their US Treasury, Agency and Agency Mortgage-Backed
More informationAssociation. LIBOR Rate means the rate per annum quoted by Lender as its One Month LIBOR Rate based upon the London Interbank Offered Rate for Dollar
September 6, 2017 CoBank, ACB LIBO Rate : with respect to any Interest Period, the rate per annum determined by the Administrative Agent at approximately 11:00 a.m., London time, two (2) Business Days
More informationGround Rules. FTSE Currency FRB Index Series and Methodology Developed with Record Currency Management v2.4
Ground Rules FTSE Currency FRB Index Series and Methodology Developed with Record Currency Management v2.4 ftserussell.com January 2018 Contents 1.0 Introduction... 4 1.1 Overview... 4 1.2 FTSE Russell...
More informationABGSC Swedish Banks Treasury lunches
ABGSC Swedish Banks Treasury lunches Nov 11, 211 Anders Kvist Head of Group Treasury Balance Sheet, Liquidity & Funding A strong balance sheet structure Sep 21 Balance sheet structure Liquid assets Cash
More informationUpdate on the hybrid Euribor methodology
AL Update on the hybrid Euribor methodology Euro RFR Working Group 18 October 2018 Frankfurt am Main Jean-Louis Schirmann Secretary General Overview A B C D E Euribor Reform Hybrid Euribor Testing Phase
More informationIBOR transition. A certainty not a choice
IBOR transition A certainty not a choice In July 2018, regulators and industry groups launched an intensified, carefully coordinated global push for firms to recognize the pressing circumstances surrounding
More informationAppendix 1: Materials used by Mr. Dudley
Presentation Materials (PDF) Pages 169 to 188 of the Transcript Appendix 1: Materials used by Mr. Dudley Class II FOMC - Restricted FR Page 1 (1) Title: Spread between Jumbo and Conforming Mortgage Rates
More informationDiscontinuation of LIBOR
6 Hogan Lovells Discontinuation of LIBOR How documentation in securitizations and other debt capital markets transactions is responding to the development Issues Market participants should not rely on
More information