Confusion reigns as US prepares for Libor’s end
Mixed messages from US regulators make it more difficult to plan for life after Libor
The average US dollar Libor user can be forgiven for being a little confused about what comes next.
Regulators have called for no new Libor contracts to be written after the end of this year, though the discredited benchmark will continue to be available for use in existing contracts until mid-2023.
The Federal Reserve-backed working group tasked with ushering US markets off Libor has said it wants to see a “vibrant and innovative market” for reference rates emerge in its place. But regulators have made no secret of their preferred option – the secured overnight financing rate, or SOFR – even going so far as to describe some private-sector alternatives as “flawed”.
The back-and-forth over the availability of a forward-looking term SOFR hasn’t helped. In March, the Alternative Reference Rates Committee warned that low liquidity in overnight SOFR derivatives could push the timeline for a term version beyond 2021. Two months later, CME was named as the official provider of a term SOFR rate, though the ARRC stopped short of giving it the full endorsement necessary for use in regulator-backed fallbacks for cash products. That is expected to come in late July or early August. But as it stands, the term SOFR rate may not be available for use in derivatives for another two years.
That creates an odd situation. CME will not offer futures or swaps clearing linked to its officially endorsed term SOFR rate until June 2023, or even later. But the exchange plans to launch a futures contract referencing Bloomberg’s short-term bank yield index, or BSBY – which has been severely criticised by regulators – before the end of September, with clearing of BSBY swaps slated for year-end.
Regulators have even gone so far as to describe some private-sector alternatives as “flawed”
All of this shows how little control US regulators have over the Libor transition. In the absence of anything comparable to the European Union and UK’s benchmarks regulation (BMR), they have no real power to prohibit the use of benchmarks that meet vaguely defined international standards.
Confoundingly, the UK’s Financial Conduct Authority may have more influence over some SOFR alternatives than US regulators. Ice Benchmark Administration, which administers Libor and is developing its Bank Yield Index as an alternative, CME Group Benchmark Administration, the official term SOFR provider, and Bloomberg Index Services, which publishes BSBY, are all regulated by the FCA under the UK’s BMR.
Bank of England governor Andrew Bailey has said publicly that some of these benchmarks pose “a range of complex longer-term risks”. It is perhaps little surprise then that BSBY is not authorised for use in the UK. But that hasn’t prevented the rate from being used in US transactions.
In the US, the market will decide what comes after Libor, and the regulators’ efforts to micro-manage the outcome have only served to complicate matters. A recent survey by consulting firm SIA Partners found that confused messaging around timelines and reference rate options was a top transition concern among the roughly 50 respondents, including banks and end-users.
There’s a lot to be cleared up in the next six months before US dollar Libor disappears in the rear-view mirror. Exactly what cash products and their associated hedges will reference in its place remains something of a mystery. Regulators need to sharpen their messaging and focus on what they control to ensure an orderly transition to a post-Libor market.
コンテンツを印刷またはコピーできるのは、有料の購読契約を結んでいるユーザー、または法人購読契約の一員であるユーザーのみです。
これらのオプションやその他の購読特典を利用するには、info@risk.net にお問い合わせいただくか、こちらの購読オプションをご覧ください: http://subscriptions.risk.net/subscribe
現在、このコンテンツを印刷することはできません。詳しくはinfo@risk.netまでお問い合わせください。
現在、このコンテンツをコピーすることはできません。詳しくはinfo@risk.netまでお問い合わせください。
Copyright インフォプロ・デジタル・リミテッド.無断複写・転載を禁じます。
当社の利用規約、https://www.infopro-digital.com/terms-and-conditions/subscriptions/(ポイント2.4)に記載されているように、印刷は1部のみです。
追加の権利を購入したい場合は、info@risk.netまで電子メールでご連絡ください。
Copyright インフォプロ・デジタル・リミテッド.無断複写・転載を禁じます。
このコンテンツは、当社の記事ツールを使用して共有することができます。当社の利用規約、https://www.infopro-digital.com/terms-and-conditions/subscriptions/(第2.4項)に概説されているように、認定ユーザーは、個人的な使用のために資料のコピーを1部のみ作成することができます。また、2.5項の制限にも従わなければなりません。
追加権利の購入をご希望の場合は、info@risk.netまで電子メールでご連絡ください。
詳細はこちら 我々の見解
Why Trump’s latest Truth should make TradFi twitchy
Wall Street is becoming the villain in Trump’s crypto movie
ファニーメイとフレディマックによる住宅ローン買い入れが金利上昇を招く可能性は低い
9兆ドル規模の市場において2,000億ドルのMBSを追加しても、従来のヘッジ戦略を復活させることはできません。
2025年の影響度合い:デリバティブ価格設定が主導的役割を担い、クオンツはAIの群れに追随しない
金利とボラティリティのモデリング、ならびに取引執行は、クオンツの優先事項の最上位に位置しております。
株式には、投資家が見落としている可能性のある「賭け要素」が存在する
投機的取引は、対象となる株式によって異なる形で、暗号資産と株式市場との間に連動関係を生み出します。
パッシブ投資とビッグテック:相性の悪い組み合わせ
トラッカーファンドがアクティブ運用会社を締め出し、ごく少数の株式に対して過熱した評価をもたらしています。
粘着性のあるインフレに対する懸念がくすぶり続けている
Risk.netの調査によると、投資家たちはインフレの終息を宣言する準備がまだ整っていないことが判明しましたが、それには十分な理由があります。
トランプ流の世界がトレンドにとって良い理由
トランプ氏の政策転換はリターンに打撃を与えました。しかし、彼を大統領の座に押し上げた勢力が、この投資戦略を再び活性化させる可能性があります。
Roll over, SRTs: Regulators fret over capital relief trades
Banks will have to balance the appeal of capital relief against the risk of a market shutdown