Articles by Robert Mackenzie Smith
Accounting rules snare insurers in SOFR discounting switch
Re-couponing swaps to reduce discount risk could have adverse accounting consequences for insurers
Dealers vie with Markit to electronify bond issuance
Competing platforms could split the market for new issuance in Europe and the US
Rival SOFR conventions splinter loan market
Diverging approaches to calculating interest payments sow uncertainty and hedging concerns
New Tradeweb/IBA benchmark tipped as ‘competitor’ to SOFR
Forward-looking risk-free rate aimed at US mortgage market could have broader applications
Funds turn to stress-testing in fast-forward and reverse
Buy-side risk survey: Covid-19 is changing the way investors think about stress tests
SOFR basis blows out amid CCP discounting changes
Rate cuts may have exacerbated discount risk as basis swap opt-outs move deeply in-the-money
Stanford’s Duffie shakes up SOFR credit race with AXI index
Academics propose new credit index that ditches Libor tenors for a single funding spread
Cross-currency confusion stalks FCA announcements
Possibility of RFR fallbacks setting on different dates creating valuation issues, say banks
Consultation on Libor cessation expected in September
IBA must consult market before formal announcement can be made at year-end
Sonia term rate nears ‘beta’ release, while SOFR struggles
ARRC chair says current liquidity in SOFR derivatives is insufficient to create a term rate
Credit problem: SOFR faces uphill struggle in loan market
Furnishing Libor’s replacement with a credit-sensitive spread is proving to be a Sisyphean task
Libor trap lurks in 2021 US stress tests
Using SOFR, borrowing could boom and revenues collapse
Fed does U-turn on SOFR loans
Libor rates to be used instead for four-year emergency lending schemes
Bond managers relaxed ahead of bumper index rebalance
Fed’s credit facilities boost confidence as downgrades hit corporate bond indexes
Banks reject SOFR in Fed’s Covid lending schemes
Emergency loans to businesses get caught up in Libor transition
Lawyers pick holes in Libor statutory fix
US ‘tough legacy’ contracts open to legal challenge even if proposed New York law is passed
Banks fear time-limit on Fed leverage ratio reprieve
Capital constraints not covered by relief also weigh on balance sheet strategy
Index delays leave passive bond funds in purgatory
Moves to postpone index rebalancings could backfire as rating agencies press ahead with downgrades
Money funds turn to Fed facility amid record inflows
MMFs are accepting 0% returns and waiving management fees to avoid ‘breaking the buck’
Hedge fund Parplus said to be source of ABN’s $200m loss
New York-based volatility fund had close ties to defaulted prop shop Ronin Capital
Rate volatility highlights benchmark flaws
Libor and SOFR in spotlight following market rout, as both decouple from commercial paper
US Treasury market holds its breath after high drama
Intermediation broke down after off-the-run bonds were dumped on banks
FCMs clamour for formal rule on separate account margin
Costly compliance effort will be to no avail if CFTC relief expires in June 2021
Cross-border trading could suffer under IM rules
Conflicting US and EU cash reinvestment rules may force buy side to post bonds