Robert Mackenzie Smith
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Articles by Robert Mackenzie Smith
Congress readies surprise ‘tough legacy’ Libor fix
Federal legislation to ensure legacy Libor contracts can move to SOFR is in the works
Big moves, but no panic after tumultuous US election
Treasury market saw its largest post-election move since at least 2000 – but liquidity held up
Bailed-out basis traders face regulatory backlash
The cash/futures basis trade could be a test case for regulating systemically risky activities
CME asks clients about changing implied UST futures coupon
Falling yields prompt review of 6% conversion factor for delivery-eligible bonds
Citi promotes Perkins and Wilson to top clearing post
US bank creates clearing co-head role in wake of Kemp’s retirement
FFCB pilots US Libor note fix as legal remedy stalls
Exchange exercise offers partial relief, but could be repeated as US issuers seek to safeguard contracts
Prime fund exodus threatens SOFR credit add-on
Falling commercial paper and certificate of deposit issuance could leave new benchmarks with data gaps
Protocol delay casts doubt on Libor death knell timing
Two-month delay to Isda fallback protocol leaves FCA’s planned end-2020 statement in the balance
Accounting rules snare insurers in SOFR discounting switch
Re-couponing swaps to reduce discount risk could have adverse accounting consequences for insurers
Dealers vie with Markit to electronify bond issuance
Competing platforms could split the market for new issuance in Europe and the US
Rival SOFR conventions splinter loan market
Diverging approaches to calculating interest payments sow uncertainty and hedging concerns
New Tradeweb/IBA benchmark tipped as ‘competitor’ to SOFR
Forward-looking risk-free rate aimed at US mortgage market could have broader applications
Funds turn to stress-testing in fast-forward and reverse
Buy-side risk survey: Covid-19 is changing the way investors think about stress tests
SOFR basis blows out amid CCP discounting changes
Rate cuts may have exacerbated discount risk as basis swap opt-outs move deeply in-the-money
Stanford’s Duffie shakes up SOFR credit race with AXI index
Academics propose new credit index that ditches Libor tenors for a single funding spread
Cross-currency confusion stalks FCA announcements
Possibility of RFR fallbacks setting on different dates creating valuation issues, say banks
Consultation on Libor cessation expected in September
IBA must consult market before formal announcement can be made at year-end
Sonia term rate nears ‘beta’ release, while SOFR struggles
ARRC chair says current liquidity in SOFR derivatives is insufficient to create a term rate
Credit problem: SOFR faces uphill struggle in loan market
Furnishing Libor’s replacement with a credit-sensitive spread is proving to be a Sisyphean task
Fed does U-turn on SOFR loans
Libor rates to be used instead for four-year emergency lending schemes
Bond managers relaxed ahead of bumper index rebalance
Fed’s credit facilities boost confidence as downgrades hit corporate bond indexes
Banks reject SOFR in Fed’s Covid lending schemes
Emergency loans to businesses get caught up in Libor transition
Lawyers pick holes in Libor statutory fix
US ‘tough legacy’ contracts open to legal challenge even if proposed New York law is passed