Swiss perspective on IBOR Transition

Swiss perspective on IBOR Transition
On Monday, February 11th 2019 Christian Behm joined the flagship event hosted by the Swiss Risk Association “LIBOR –Past, Present And Future”.

We would like to emphasize following aspects of this highly valuable event:
  • SNB identified LIBOR shortcomings early and developed a vision and a SARON roadmap already in 2009 (long before the IOSCO principles were published)
  • The character of the RFR differs significantly compared to IBORs, which results in implications on banks steering
  • Backward-looking term rates are feasible and come with certain benefits compared to OIS derived term rates (e.g. lower volatility; forwards are a poor indicator of future rates)
  • Harmonization across currencies is desired due to cross-currency markets
  • From a Swiss perspective it is rather surprising to observe Eurozone stakeholders believing (or supporting) in a long term surviving Euribor
  • The FINMA Dear CEO Letter helped to increase necessary awareness and serves as a catalyst for necessary preparation in organizations
  • Proposed EONIA-ESTER transition path could also serve as an example for the transition away from LIBORs
Thanks to SRA and the other speakers Martin M. Bardenhewer, Jean-Noël Ardouin, Serena Fioravanti and Andreas Bitz for sharing their valuable insights.

LPA

CapTech Group

LPA adds RegTech market leader Acarda to group

+++ Acarda, the specialist for integrated, regulatory and automated data management and reporting solutions will in future be operating under the umbrella of the LPA Group +++ This acquisition takes LPA into the growth segment of asset management and marks another milestone on its journey of international expansion +++ The acquisition broadens the LPA proposition combining innovative CapTech and RegTech automation solutions for financial sector organizations worldwide Frankfurt/Main, (08.09.2020)

CSA Management: One of the most underrated aspects of the IBOR transition?

The IBOR transition brings many changes to the capital markets sector. One of the critical challenges of transition management is the amendment of collateralization for OTC derivatives. PAI (and implicitly discounting) needs to be adapted for EUR and USD-cash collateral from EONIA and EFFR to the new Risk Free Rates (RFRs) €STR and SOFR. This has to be done by the end of 2021 [1] (EUR) and the end of 2020 [2] (USD), respectively. While the adjustment for cleared derivatives is managed centrally by the CCPs, counterparties of bilaterally collateralized derivative portfolios must amend the collateral agreements by themselves. This requires EONIA or EFFR based legacy CSAs to be negotiated and compensation payments between counterparties to be settled. Complexity is increased further as many market participants still have some non-standardized legacy CSAs with features such as embedded floors or thresholds in place. Strategic options (backloading, counterparty selection, novat

June 2020 Draft Amended PRIIPs RTS: What’s inside for Structured Products?

In a letter sent by the ESAs (the European Supervisory Authorities, i.e. EBA, EIOPA and ESMA) to the European Commission, the ESAs have included a draft amended PRIIPs RTS. As the letter points out...

Go back to all news

This website uses cookies to improve your experience.
Navigating in it, we understand you agree with our privacy policy.