Tag: benchmarks

benchmarks

ISDA Publishes Preliminary Results of Benchmark Fallback Consultation

The International Swaps and Derivatives Association (ISDA) has published a statement summarising the preliminary results of its supplemental consultation on adjustments that would apply to fallback rates in the event certain interbank offered rates (Ibors) are permanently discontinued. The consultation was launched in May, and set out options for spread and term adjustments if fallbacks are triggered […]

New Change FX Links with Lucera Connect

New Change FX’s regulated benchmarks and other data products are now available on the Lucera Connect network, allowing for rapid provisioning to existing Lucera Connect clients and workflow integration to LumeFX deployments. “We are seeing increasing demand for our regulated FX data to enable live performance checking of price formation for both makers and takers,” […]

Refinitiv To Calculate Thai Benchmark

Refinitiv has been appointed as the official calculating agent for the Bank of Thailand’s official Thai Baht spot rate, forward points and implied swap rates. The new transactions-based benchmark succeeds the previous survey-based benchmark administered and calculated by Refinitiv. Known to market participants as THBFIX, it will be available from 2 May 2019. Refinitiv will […]

Survey Highlights Need for Users to Rewrite Libor-Based Contracts

A survey of more than 100 firms associated with the derivatives markets and conducted by JCRA, an independent financial risk management consultancy, along with law firm Travers Smith, has found that a large majority of firms with exposure to Libor are yet to start making preparations for its discontinuation.
The benchmark is set to be withdrawn in 2021, but the firms say that most of those surveyed have not started negotiating replacement language in their contracts that reference the outgoing benchmark.

ISDA Publishes Responses to Benchmark Consultation

The International Swaps and Derivatives Association, (ISDA) has published a statement summarising the preliminary results of a consultation on technical issues related to new benchmark fallbacks for derivatives contracts that reference certain interbank offered rates (Ibors).
The consultation, which was launched in July, covered the proposed methodologies for certain adjustments that would apply to the fallback rate in the event an IBOR is permanently discontinued. ISDA says it received 152 responses from 164 entities to the consultation from a variety of market participants.

UK Gets New Libor Transition Head

The Bank of England and the UK’s Financial Conduct Authority (FCA) have announced the appointment of Tushar Morzaria as the new chair of the Sterling Risk Free Reference Rates Working Group.
The group was established in 2015 to implement the Financial Stability Board’s recommendation to develop alternative risk-free rates (RFRs) for use instead of Libor-style reference rates. In April 2017, the Working Group recommended the Sonia benchmark as their preferred RFR and since then has been focused on how to transition to using Sonia across sterling markets.

And Finally…

The problems around OTC market benchmarks are well-established, but it’s not just limited to these markets – there are suspicions and claims about collusion and attempted manipulation in listed markets as well. The latest lawsuit against FX banks has a very interesting paragraph in it which highlights the Plaintiffs’ belief that the Fix is open to manipulation, which begs the question, “Why use it?”
So is it time for a rational and genuine discussion about the use of these benchmarks? I think it is.

A Question of Faith: Asset Managers and the Fix

Benchmark fixes have been immersed in controversy for the past five years, but anecdotal evidence sees no shift in asset manager attitudes to them. Colin Lambert asks, will these firms ever desert the Fix?

If there has been one lightning rod for controversy in what has been a pretty turbulent period for the foreign exchange industry it has been benchmark fixes. Banks have been fined, traders and managers have been dismissed, and some are facing legal sanctions, including jail, thanks to various activities all of which were centred on the WM and European Central Bank fixes.

BoA Latest to Settle with CFTC Over ISDAFIX

Bank of America (BoA) has become the latest firm to settle with the Commodity Futures Trading Commission (CFTC) over the attempted manipulation of the ISDAFIX benchmark, agreeing to pay a $30 million civil monetary penalty.

The CFTC Order finds that, beginning in January 2007 and continuing through December 2012, BoA made false reports and attempted to manipulate the US dollar International Swaps and Derivatives Association Fix (USD ISDAFIX) in order to benefit its derivatives positions, including positions involving cash-settled options on interest rate swaps and interest rate swap futures.

James McDonald, CFTC Director of Enforcement, comments: “This marks the ninth CFTC enforcement action involving manipulative conduct in connection with the USD ISDAFIX benchmark. As this case shows, the Commission will continue to work vigilantly to ensure the integrity of critical financial benchmarks and hold all wrongdoers accountable, no matter how widespread the misconduct.”

NEX Group Subsidiary Agrees $50m Settlement Over ISDAFIX Manipulation

Intercapital Capital Markets (Intercapital), a NEX Group subsidiary formerly known as ICAP Capital Markets (ICAP), has agreed a $50 million settlement with the US Commodity Futures Trading Commission (CFTC) in relation to allegations that some of its brokers aided and abetted attempts by several of its bank clients to manipulate the ISDAFIX benchmark.

A CFTC order issued today finds that over more than five years, beginning in at least January 2007 and continuing through December 2012, ICAP’s swaps brokers were regularly enlisted by traders at bank clients to assist in attempting to manipulate the US dollar International Swaps and Derivatives Association Fix (USD ISDAFIX) for the benefit of their bank clients’ derivatives positions, including positions involving cash-settled options on interest rate swaps.