Short Term Interest Rate Benchmarks

As the US Treasury moves to add even more to short dated securities to fill their deficit hole, while at the same time the Fed raises rates and slowly unwinds…

The European Commission doubles down on an integrated financial supervisory regime

September 26, 2017

Europe, Regulatory, Short Term Interest Rate Benchmarks

Benchmarks, EBA, EIOPA, ESMA, Europe, market data, topstory

Following moves towards a banking union (2012), the rupture of Brexit (2016) and major initiatives like MiFID II (coming to fruition in January 2018), the European Commission has announced its…

Cleveland Fed shows big spreads in Fed Funds simple rules models

March 14, 2017

Federal Reserve, Interest rates, Short Term Interest Rate Benchmarks, US

Fed Funds, Federal Reserve, monetary policy, topstory

The Federal Reserve Bank of Cleveland periodically publishes projections on Federal Funds based on a concept of “simple rules”. Simple rules are formulae based on a finite set of real-world…

Fed's Lacker reinforces view that there are strong technical pressures to raise US interest rates

September 12, 2016

Federal Reserve, Interest rates, Short Term Interest Rate Benchmarks, US

fed rate hike, Federal Reserve, interest rate benchmarks, topstory

Jeffrey Lacker, President of the Federal Reserve Bank of Richmond, spoke recently on setting Fed rate policy.His focus was on economic data and policy benchmarks that help shape the Fed’s…

Brexit reaction by Bank of England brings UK in closer alignment to Europe but not in a good way

August 11, 2016

Bank of England, ECB, Europe, Interest rates, Short Term Interest Rate Benchmarks

Bank of England, Brexit, ECB, European Central Bank, Quantitative Easing, topstory

On August 4th, the Bank of England (BoE) cut its key overnight rate by half to a new record low of 0.25%, lower even than directly in the wake of…

Japan joins the negative deposit rate club

March 23, 2016

Asia, Risk Management, Securities Lending, Shadow Banking, Short Term Interest Rate Benchmarks, Systemic Risk

Bank of Japan, capital costs, Central Banks, negative interest rates, topstory

At the end of January, Japan’s became the latest central bank to drop deposit rates into negative territory, joining the likes of the ECB, Sweden, Switzerland and Denmark. This now…

Rate games adding to the complexity in collateralized funding markets (Premium)

January 13, 2016

China, ECB, Federal Reserve, Interest rates, Repo, Short Term Interest Rate Benchmarks, Systemic Risk

China, Euro, fed rate hike, Fed Repo Facility, monetary policy, topstory

Now that the US Fed has uncorked the bottle with their first rate hike in several years, central banks around the world are starting to react in interesting ways. As…

LIBOR rules get down to the details in new ICE Benchmark Administration (IBA) paper

August 10, 2015

IBA, ICE Benchmark Administration Limited, topstory

Featured, LIBOR, Market infrastructure, Regulatory, Short Term Interest Rate Benchmarks

The ICE people responsible for LIBOR (ICE Benchmark Administration Limited or IBA) have published a new paper, “Second Position Paper on the Evolution of ICE Libor”. So what is IBA…

The FSB reports on progress in reforming the ‘IBORs

July 15, 2015

Featured, Financial Stability Board, LIBOR, Regulatory, Short Term Interest Rate Benchmarks

EURIBOR, FSB, IBOR, LIBOR, RFR, Risk Free Rate, TIBOR, topstory

The FSB published “Progress in Reforming Major Interest Rate Benchmarks Interim Report” on July 9th. We get into some of the detail.Continue reading

The Fed publishes “Overnight RRP Operations as a Monetary Policy Tool: Some Design Considerations”, a look at the RRP program objectives and risks, Part II

March 9, 2015

Featured, Federal Reserve, Regulatory, Repo, RRP, Short Term Interest Rate Benchmarks, Systemic Risk

RRP, topstory

This is the second of two posts focusing on “Overnight RRP Operations as a Monetary Policy Tool: Some Design Considerations”, Federal Reserve Bank of New York Staff Reports, Staff Report…

The Fed publishes “Overnight RRP Operations as a Monetary Policy Tool: Some Design Considerations”, a look at the RRP program objectives and risks, Part I

March 5, 2015

Featured, Federal Reserve, Market infrastructure, Regulatory, Repo, RRP, Short Term Interest Rate Benchmarks, Systemic Risk

Federal Reserve, monetary policy, Repo, Reverse Repo Facility, topstory

The NY Fed has published a lengthy article focusing on the Reverse Repo (RRP) facility, “Overnight RRP Operations as a Monetary Policy Tool: Some Design Considerations”, Federal Reserve Bank of…

BNY Mellon and CME set to introduce tri-party indices and futures. Is this the right time?

November 25, 2014

Featured, Primary Dealers, Repo, Repo Futures, Short Term Interest Rate Benchmarks, Tri-Party Repo

BNY Mellon, CME, DTCC, GCF Repo, ICE, topstory

Bank of New York Mellon and the CME have announced a collaboration to produce indices based on tri-party repo and futures contracts on those indices. This was long expected but…

The US risk-free reference rate should be the repo rate

November 18, 2014

Federal Reserve, Investments, LIBOR, Short Term Interest Rate Benchmarks

benchmark rates, GCF, LIBOR, reference rates, Repo, Repo Futures, short-term interest rate benchmarks, topstory

The Federal Reserve hosted a meeting yesterday of market participants and regulators on reforming the US risk-free reference rate for USD derivatives. We strongly think that this rate should be…

Do fees for LIBOR speed the way towards a repo benchmark rate?

September 24, 2014

Collateral Management, Derivatives, LIBOR, Regulatory, Short Term Interest Rate Benchmarks

ICE, LIBOR, Repo Indices, topstory

As news continues to trickle in on ICE charging fees for LIBOR, and repo growing in importance, we ask where the tipping point is for investors and intermediaries to take…

"Reforming Major Interest Rate Benchmarks" from the FSB looks at using GCF repo as derivatives benchmark

July 23, 2014

Derivatives, Repo, Short Term Interest Rate Benchmarks

CMT, FSB, GCF Repo, IOER, LIBOR, OIS, RRP

The Financial Stability Board published on July 22nd a major report “Reforming Major Interest Rate Benchmarks”. They look at how the ‘IBORs could be reformed. The LIBOR scandal may have…

What happens when derivatives trading has more volume than the underlying? Is this the future for bond markets? (Finadium subscribers only)

July 16, 2014

Cleared Interest Rate Swaps, Corporate Bonds, Derivatives, Featured, Short Term Interest Rate Benchmarks

Bonds, derivatives, indices, Leverage Ratio, Liquidity, OIS

The short answer is that the markets get messy and uncertain; we’ve seen this before with Fed Funds and OIS. Now the same situation could occur with US Treasuries, Gilts,…

Finadium report: The Federal Reserve, Reverse Repo, Collateral and Benchmarks

November 18, 2013

Collateral Management, Featured, Primary Dealers, Regulatory, Repo, Short Term Interest Rate Benchmarks

collateral, Federal Reserve, Finadium, interest rate benchmarks, reverse repo

Finadium has released a new research report on the Federal Reserve’s reverse repo facility with a focus on collateral, winners and losers, and the potential impacts to US interest rate…

Some data on the Fed's Fixed-Rate, Full-Allotment Overnight Reverse Repos

October 3, 2013

Federal Reserve, Fixed-Rate Full-Allotment Overnight Reverse Repos

Featured, Federal Reserve, Repo, Short Term Interest Rate Benchmarks

It is easy to read all sorts of things into the $58 billion in “Fixed-Rate, Full-Allotment Overnight Reverse Repos” executed by the Fed over quarter-end. The Fed’s repos were done…

How are Liffe’s repo futures faring?

March 28, 2013

Repo, Repo Futures, Short Term Interest Rate Benchmarks

LIBOR, NYSE Liffe, Repo, Repo Futures

The NYSE Liffe repo futures are a great idea. Following their launch in July 2012, we have been covering this space and asking the critical question: can repo futures generate…

The Fed wades back in to measuring overnight and term loan volumes

March 11, 2013

LIBOR, Short Term Interest Rate Benchmarks

Fed Funds, LIBOR, term loans

The Fed has re-entered the debate on how to accurately measure Fed Funds volumes. This time the authors of a new staff report, “Identifying Term Interbank Loans from Fedwire Payments…

Whoa Mr. Gensler, don’t trash LIBOR just yet – repo futures and OIS are not ready for prime time

March 4, 2013

LIBOR, Repo Futures, Short Term Interest Rate Benchmarks

CFTC, Fed Funds, Gensler, GFMA, LIBOR, OIS, Repo Futures, Repo Indices

As a follow-up to our post last Thursday on the Global Financial Markets Association’s LIBOR conference, we wanted to revisit a topic that CFTC chairman Gary Gensler brought up: that…

Should we buy into ESMA’s arguments on collateral shortages?

February 18, 2013

Collateral Management, Repo, Shadow Banking, Short Term Interest Rate Benchmarks

collateral, ESMA, EURIBOR, LIBOR, Repo, Shadow Banking

ESMA published last week their first Trends, Risk, Vulnerabilities report of the year. The report is worth reading for its data points and a view into the thinking of this…

Another swing at Euribor: ESMA and EBA issue strong recommendations for change

January 14, 2013

Europe, Short Term Interest Rate Benchmarks

EBA, ESMA, EURIBOR, LIBOR, short-term interest rate benchmarks

ESMA and the EBA have issued a consultation paper on the future of Euribor. It’s not so much a consultation paper as a harsh criticism coupled with a strong demand…

What's the value of the ICAP/MTS repo indices in the market?

December 19, 2012

Collateral Management, Repo, Repo Futures, Short Term Interest Rate Benchmarks

Last week ICAP and MTS announced a new series of repo indices, the RepoFunds Rate. These indices are based on overnight GC and selected collateral transactions on the BrokerTec and…

News roundup: orderly liquidations, the future of financial regulation, Euribor's troubles

December 13, 2012

Bank of England, Dodd-Frank, Europe, Regulatory, Short Term Interest Rate Benchmarks, Systemic Risk

Bank of England, Citi, DekaBank, Emerging Markets, EURIBOR, FDIC, IOSCO, orderly liquidations, Regulation

A lot has been happening in the securities finance and collateral worlds over the last week, including new reports on orderly liquidations and an interesting speech from the head of…

Fed continues to believe in IOER as-is; we think it is time for a serious policy review

December 3, 2012

Cash management, Featured, Money Market Funds, Short Term Interest Rate Benchmarks

Federal Reserve, IOER

The Federal Reserve’s Liberty Street Economics blog published an article today on why the Interest on Excess Reserves (IOER) should be kept at 25 bps in the current environment. The…

Banks look for a Euribor and LIBOR alternative: our take on the latest developments

November 8, 2012

Europe, Repo, Short Term Interest Rate Benchmarks

EURIBOR, European Central Bank, European Repo Council, ICMA, LIBOR, Repo Futures, Repo Indices

Reuters published an interesting article yesterday on the European Repo Council, part of the ICMA, meeting with the European Central Bank to discuss “setting up a benchmark based on actual…

How to track Fed Funds? Even the Fed doesn't know, and that's a problem

October 11, 2012

Featured, Regulatory, Short Term Interest Rate Benchmarks

Fed Funds, Federal Reserve

A report issued this week by the Federal Reserve Bank of New York debunks the algorithm that has been historically used to track Fed Funds. This is a serious matter,…

To LIBOR or Not to LIBOR: the Wheatley Review's take on LIBOR alternatives

October 1, 2012

Bank of England, LIBOR, Repo, Repo Futures, Short Term Interest Rate Benchmarks

LIBOR, Repo Futures, Repo Indices, Wheatley Review

The Wheatley Review on LIBOR released Friday was a strong indictment of LIBOR in its current incarnation but contained well-thought out proposals on where things go from here. The most…

Nuts and bolts of the Wheatley Review on LIBOR

September 30, 2012

Bank of England, LIBOR, Regulatory, Short Term Interest Rate Benchmarks

BBA, FSA, LIBOR, Wheatley Review

On Friday September 28, 2012, the UK Treasury published the Wheatley Review, a study completed by Martin Wheatley of the FSA (and soon to be Chief Executive of the UK’s…

CFTC Chair Gary Gensler's speech to European Parliament – hinting at repo indices again as a benchmark

September 25, 2012

Europe, LIBOR, Repo Futures, Short Term Interest Rate Benchmarks

European Parliament, Gensler, LIBOR, Repo Futures, Repo Indices

US CFTC Chairman Gary Gensler spoke before the European Parliament’s Economic and Monetary Affairs Committee yesterday by video. The testimony he gave focused on LIBOR, what went wrong and how…

EC Consultation Paper on LIBOR: smarter than we thought it would be

September 7, 2012

Europe, LIBOR, Repo, Short Term Interest Rate Benchmarks

European Commission, LIBOR, Repo Futures

The European Commission released a consultation document on Wed, Sept 5, 2012, “CONSULTATION DOCUMENT ON THE REGULATION OF INDICES: A Possible Framework for the Regulation of the Production and Use…

Reuters: BrokerTec, MTS to launch euro zone repo index series

August 22, 2012

Derivatives, Europe, LIBOR, Repo, Short Term Interest Rate Benchmarks

BrokerTec, ICAP, LCH.Clearnet, London Stock Exchange, MTS, Repo, Repo Indices

By Marius Zaharia LONDON | Mon Aug 20, 2012 6:39pm IST (Reuters) – ICAP’s (IAP.L) BrokerTec fixed income trading platform and the London Stock Exchange’s (LSE.L) bond trading unit MTS…

Tuesday roundup: repo index transparency, FSA on LIBOR, ESMA on seclending fees, RMA conference

August 14, 2012

Basel III, Europe, LIBOR, Regulatory, Repo, Securities Lending, Short Term Interest Rate Benchmarks

DTCC, ESMA, FSA, GCF Repo, ICAP, LIBOR, NYSE Liffe, Repo Indices, RMA, UCITS

Some highlights from today’s securities finance news include transparency in repo index prices, commentary from the FSA on LIBOR, ESMA reports to the FT on securities lending fees for UCITS…

Finadium: Repo Indices, OIS and Other Alternatives to LIBOR

August 13, 2012

Derivatives, LIBOR, Repo, Short Term Interest Rate Benchmarks

Fed Funds, Finadium, LIBOR, LIBOR scandal, OIS, Overnight Index Swaps, Repo Futures, Repo Indices

Finadium has released a new report today, Repo Indices, Overnight Index Swaps and Other Alternatives to LIBOR. The LIBOR scandal has been the tipping point for a change in short…

GCF Repo Futures have launched

July 17, 2012

Featured, Short Term Interest Rate Benchmarks

Fed Funds, GCF Repo Indices, LIBOR, LIBOR scandal, OIS, safe assets