Hedging of SARON exposure, Part II
On 5 March 2021, the Financial Conduct Authority (FCA) announced the official dates of the cessation and loss of representativeness of the LIBOR rates. As a result, 31 December 2021 will be the last day on which the CHF LIBOR will be published. During the last months, a multitude of informative documents were provided by the Alternative Reference Rates Committee (ARRC) and the International Swaps and Derivatives Association (ISDA). As a follow-up from the previous article Hedging of SARON exposure, Part I: Explanatory power of SARON term and actual rates, this article assesses the different compounding methodologies with respect to hedging strategy.
Barely a day goes by, it seems, without an email, a post, or a newsflash from one of the many acronyms (ECB, BOE, FED, FCA, ISDA…) of the LIBOR reform players. We are getting closer to the deadline and there is still the same uncertainty on what the post-LIBOR market will be like. What will the transition look like? Will my margin calls be impacted? Will the fixed rate currently paid be changed? Will interest payment in arrears really become the norm for the loans and facilities too?
IBOR Reform in Switzerland, Part V
The Financial Conduct Authority (FCA) ensured bank panels support LIBOR, and this is coming to a close at the end of 2021. Currently more than 80% of CHF loans are priced with the CHF LIBOR as a basis. The transition to a new reference rate poses a number of different challenges for the market. This fifth part of our article series presents the checklist of the Swiss National Working Group (NWG) and the Zanders IBOR Assessment.
IBOR Reform in Switzerland, Part IV
The Swiss Average Rate Overnight (SARON) is expected to replace CHF LIBOR by the end of 2021. The transition to this new reference rate includes debates concerning the alternative methodologies for compounding SARON. This article addresses the challenges associated with the fallback provisions.
IBOR Reform in Switzerland, Part III
The Swiss Average Rate Overnight (SARON) is expected to replace CHF LIBOR by the end of 2021. The transition to this new reference rate includes debates concerning the alternative methodologies for compounding SARON. This article aims to provide the latest updates on the Swiss National Working Group’s (NWG) view and latest market development on compounded SARON.