Articles by Robert Mackenzie Smith
Bloomberg, IHS Markit join race for SOFR credit add-on
BSBY index seen as ‘easy option’ add-on for regulator-preferred RFR; Markit preps for Q2 launch
Brexit drives swaps trading to US platforms
Lack of equivalence forces dealers to shift euro and sterling swaps out of European and UK venues
Fed and FCA see path to synthetic dollar Libor
Reprieve for popular dollar settings could buy time for UK-style tough legacy fix
How hedge funds lost big on US dollar Libor delay
Sharp narrowing of fallback spreads may have caused up to $2 billion of losses
Dollar Libor reprieve sparks fallback uncertainty
Popular settings to end in June 2023; market seeks clarity over timing of fallback spread triggers
US banks cede to SOFR lending as credit hopes fade
Critics of risk-free rate say dynamic spread will be too late for transition
Quarles’ legacy Libor contracts plan stirs confusion
Cryptic comment feeds speculation about synthetic US dollar Libor – prompting pushback from ARRC
The buy side and Libor: it’s decision time
Investors weigh pros and cons of signing newly released Isda fallback protocol, as Libor demise looms
Congress readies surprise ‘tough legacy’ Libor fix
Federal legislation to ensure legacy Libor contracts can move to SOFR is in the works
Big moves, but no panic after tumultuous US election
Treasury market saw its largest post-election move since at least 2000 – but liquidity held up
Bailed-out basis traders face regulatory backlash
The cash/futures basis trade could be a test case for regulating systemically risky activities
CME asks clients about changing implied UST futures coupon
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
Citi promotes Perkins and Wilson to top clearing post
US bank creates clearing co-head role in wake of Kemp’s retirement
FFCB pilots US Libor note fix as legal remedy stalls
Exchange exercise offers partial relief, but could be repeated as US issuers seek to safeguard contracts
Prime fund exodus threatens SOFR credit add-on
Falling commercial paper and certificate of deposit issuance could leave new benchmarks with data gaps
Protocol delay casts doubt on Libor death knell timing
Two-month delay to Isda fallback protocol leaves FCA’s planned end-2020 statement in the balance
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