On Friday, the CME announced they will start publishing Term SOFR Rates for 1-month, 3-month and 6-month tenors. This establishes a SOFR reference rate that will be used to set interest rates in advance that pay in arrears, similar to current...
March
08,
2021
Posted by
Hedge Trackers
Friday, March 5, 2021, the official groundwork was laid to discontinue LIBOR by the FCA, IBA and ISDA. Note: There is no immediate impact to your LIBOR based investments, debt or swaps. However, this is formal notice by key stakeholders that...
February
16,
2021
Posted by
Karen Gubler
As companies implement and run foreign currency (FX) risk management programs, they need to be aware of some common mistakes. Not all treasuries will encounter every mistake, but they are sure to encounter at least one of these—if not now, then...
November
30,
2020
Posted by
Ruth Hardie
In unexpected news today, the end of USD LIBOR has been extended to June 30, 2023. The Federal Reserve Board put out a press release today supporting the extension of LIBOR through June 30, 2023.
November
05,
2020
Posted by
Ruth Hardie
FASB Proposes an Accounting Standards Update Expanding Topic 848 (Reference Rate Reform)Respondent comments are due Friday, November 13.
October
26,
2020
Posted by
Ruth Hardie
The eagerly anticipated ISDA IBOR Fallback Protocol was released on Friday, October 23, 2020. The effective date of the protocol has been set for January 25, 2021. The following is a brief list of questions you may have. Look for more detailed...
October
21,
2020
Posted by
Ruth Hardie
The drop in rates in Q1 has increased the net cash payments on pay-fixed, receive-variable interest rate swaps and at the same time increased the derivative losses. What does this mean for your hedge accounting? The good news is that the drop in...
October
16,
2020
Posted by
Ruth Hardie
We always encourage hedgers to consider the economics of a transaction before looking at the accounting. If the economics don’t make sense, it doesn’t matter how favorable the accounting treatment is, it probably isn’t a good idea!
October
12,
2020
Posted by
Glenn Suarez
The direct impacts of the transition away from LIBOR to the use of an alternative reference rate such as the Secured Overnight Financing Rate (SOFR) have been well publicized. ISDA and ARRC have been releasing regular updates and suggested...