benchmark
The International Swaps and Derivatives Association (ISDA) has launched a new consultation to finalise the methodologies for the adjustments that will be made to derivatives fallbacks in the event certain interbank offered rates (Ibors) are permanently discontinued. The latest publication follows two earlier consultations, which set out options for the adjustments that will apply to […]
The Monetary Authority of Singapore (MAS) has announced the establishment of the Steering Committee for SOR Transition to SORA. The committee will oversee an industry-wide interest rate benchmark transition from SOR to SORA. SOR is a key interest rate benchmark in Singapore that is used in the pricing of SGD interest rate derivatives, commercial and retail […]
Just two weeks after the three members of the notorious Bloomberg chatroom The Cartel were acquitted in a New York court of manipulation of FX markets, a group of banks are facing yet another lawsuit from a class action of investors over their FX market activities.
The action has been brought by a group of major investors who explicitly opted out of the class action settlement last year that saw 14 of the 16 banks accused pay over $2.3 billion in damages (a 15th settled later).
The International Swaps and Derivatives Association has published the ISDA Benchmarks Supplement, which it says gives firms the ability to improve the contractual robustness of derivatives that reference interest rate, FX, equity and commodities benchmarks.
The Supplement has been developed in response to the European Union Benchmarks Regulation, which regulates the use of a wide variety of benchmarks across different asset classes. The BMR requires contracts between supervised entities and their clients to set out the actions they would take if a referenced benchmark is materially changed, ceases to be provided or is prohibited from use.
The Commodity Futures Trading Commission (CFTC) has fined Deutsche Bank Securities (DBSI) $70 million for attempted manipulation of the USD ISDAFIX benchmark.
The CFTC Order finds that over a five-year period, beginning in at least January 2007 and continuing through May 2012, DBSI made false reports and through the acts of multiple traders attempted to manipulate the US dollar International Swaps and Derivatives Association Fix (USD ISDAFIX), a leading global benchmark referenced in a range of interest rate products, to benefit its derivatives positions, including positions involving cash-settled options on interest rate swaps.
James McDonald, CFTC director of enforcement, comments: “This action reflects the CFTC’s continued and vigilant commitment to protect those who rely on the integrity of critical financial benchmarks. There is no room in our markets for manipulation – we will continue to work hard to stamp it out, wherever we find it.”
The Federal Reserve Board has requested public comment on a proposal for the Federal Reserve Bank of New York, in cooperation with the Office of Financial Research, to produce three new reference rates based on overnight repurchase agreement (repo) transactions secured by Treasuries.
These rates will replace the existing London Interbank Offered Rate (Libor) mechanism as the benchmark for interest rates and the new proposed benchmarks are a Tri-party General Collateral Rate (TGCR), a Broad General Collateral Rate (BGCR), and a Secured Overnight Financing Rate (SOFR).
Nex Data, a Nex Group business which delivers independent market intelligence and price information for OTC data and Nex Markets, a NEX Group business which provides electronic trading technology and services, have launched the EBS JPY Benchmark, which it claims is the first fully electronic, transaction-backed reference rate for the Japanese yen.
Nex says the creation of the reference rate for JPY seeks to provide high standards across the market.Reflecting the USD/JPY rate, the new benchmark is published daily at 15:00 Tokyo time.
Bloomberg has launched Canadian FX benchmark rates (BFIX) a week ahead of the Bank of Canada’s planned changes to the timing, frequency and calculation of the daily average rate for currencies against the Canadian dollar.
The central bank said these changes, due to go into effect on March 1, will reinforce the distinction between FX rate fixings used as benchmarks for transactional purposes and Bank of Canada exchange rates that are provided as a public good – for statistical, analytical and informational purposes only.
The Australian Financial Markets Association (AFMA) has announced that it will transfer administration of the BBSW (bank bill swap rate) benchmark rate to ASX. It is the intention of both parties that ASX will administer BBSW from 1 January 2017.
AFMA says ASX was selected following a “highly competitive process” that Profit & Loss understands included Ice Benchmark and Thomson Reuters, which began in July 2016 with a public invitation for interested parties to register their interest as a potential alternate benchmark administrator for the rate setting.
The Australian Competition and Consumer Commission (ACCC) has commenced legal proceedings on a consent basis against ANZ and Macquarie Bank in relation to alleged attempts to engage in cartel conduct in FX markets.
The ACCC says that following cooperation by ANZ and Macquarie, the parties have agreed that a Macquarie trader and multiple traders within ANZ engaged in a private chatroom to discuss daily submissions to be made to the Association of Banks in Singapore (ABS) in relation to the benchmark rate for the Malaysian ringgit fixing rate.
