Tag: benchmarks

benchmarks

Eurex Begins Clearing Euro Short-Term Rate Swaps

Eurex Clearing has cleared its first euro short-term rate (€STR) swap trades. The clearing house claims that this represents an important milestone in both the establishment of €STR as the new benchmark risk-free rate, and in expanding Eurex’s EUR-denominated product offering. BNP Paribas, Citi, Deutsche Bank, JP Morgan, Landesbank Baden-Württemberg (LLBW), Morgan Stanley, Nordea and […]

Virtu Adds Benchmarks for FX TCA

Virtu Financial is expanding its FX transaction cost analysis (TCA) offering with the addition of new high precision, low latency FX TCA benchmarks. The new FX benchmarks leverage Virtu’s technology platform and experience as a liquidity provider to the global FX markets to provide Virtu’s unbiased view of fair value at any point in time. […]

Barrow to Head Refinitiv’s Benchmark, Index Business

Refinitiv has appointed Shirley Barrow as global head of its benchmarks and index business. Barrow will report to Pradeep Menon, managing director of investing and advisory, as a member of the investing and advisory (I&A) proposition leadership team and will assume responsibility for Refinitiv’s benchmarks and index business, including the WM/Reuters business. Barrow joined Refinitiv […]

In the FICC of it

Profit & Loss editor, Galen Stops, is in London right now and explains that Brexit seems to be the main topic dominating a lot of conversations. And unfortunately for those who might be sick of the subject, he explains that even if the UK leaves with or without a deal in the near-future, this is […]

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.