Japanese Bank Has Big LIBOR Exposure

Japanese financial system has over 2,600 trillion yen, around USD 24 trillion, worth of contracts based on the almost obsolete LIBOR benchmark. Japanese institutions has been very slow to make the transition to alternative risk free rates. The bulk of those contracts was derivatives. Another big portion of the instruments was in loans and bonds In Japan, […]

Potential Turbulence for CLOs

Managers of US collateralized loan obligations are worried that a lack of consensus for the replacement of LIBOR could cause potential volatility in the fourth quarter. This could add more steam to the boom in refinancing of CLOs The absence of a clear replacement and potential mismatches between the benchmarks used for CLOs and underlying […]

ICE Launches SONIA ‘Beta’ Rate

ICE, a leading global provider of data, technology, and market infrastructure has announced that it has launched GBP SONIA Spread-Adjusted ICE Swap Rate ‘Beta’ Settings. The company is publishing daily settings for an initial testing period The ‘Beta’ settings are published for one year to thirty years tenors. The methodology of the settings are in […]

Reference Cost of Money Will Change

LIBOR has been very popular as a reference benchmark for the cost of money. The impact of LIBOR replacement will be difficult to escape. Banks will have to keep a close eye on their conduct towards clients in these negotiations, and borrowers should equally ensure they are obtaining trusted and independent advice to ensure effective […]

BoE Warns of LIBOR Replacement

The Bank of England warns that markets should not replace LIBOR with alternatives that could end up with the same flaws that made LIBOR manipulation easy. Regulators wanted to replace LIBOR with a risk-free rate such as SONIA. Some US bankers have called for SOFR These rates, while good as short-term supplement, may contain long […]

LIBOR Transition and ESG

Commissioner Hester Peirce  of SEC said that LIBOR reminds him of reading a story about werewolf. LIBOR seems to be alright, but is also very hairy and can have a nasty bite LIBOR was a rate made up by bankers in absence of any transactions. The rate later came to be misunderstood and misleading. The same […]

LIBOR’s End is a New Beginning for Data Management

The replacement of the long-standing LIBOR benchmark will give corporate treasurers and their data team major headache. LIBOR has been part of valuation, pricing, and risk management process for decades. Its replacement must establish credibility The to-do list for banks extend to many areas. Companies must work through the full impact of the new benchmarks […]

BoE Governor Warns of Risking Progress

The Bank of England Governor, Andrew Bailey, expressed worries that those who try to look for an easy descent by substitution LIBOR for credit sensitive rates, would risk the progress the LIBOR transition process has already made While removing reliance on expert judgement, they veneer over the fundamental challenges of thin and incomplete markets through […]