November 30, 2020

LIBOR: Unexpected News

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.
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November 05, 2020

FASB Proposes ASU Expanding Topic 848 (Reference Rate Reform)

Posted by Ruth Hardie
FASB Proposes an Accounting Standards Update Expanding Topic 848 (Reference Rate Reform)Respondent comments are due Friday, November 13. 
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October 26, 2020

ISDA Fallback Protocol for Your Derivatives: Released on Friday

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...
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October 21, 2020

Hedging for Financial Institutions – 2020 Update

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...
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October 16, 2020

Reference Rate Reform: Economics & Accounting Treatment Impacts

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!
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October 12, 2020

LIBOR Transition: Indirect Valuation Impacts

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...
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October 07, 2020

LIBOR to SOFR: Are You Ready?

Posted by Farah Lotia
As LIBOR gets ready to end, SOFR is set to begin. While the derivatives market had been changing fairly rapidly prior to COVID-19, 2020 market dynamics have not closed the gap between expected and observed market prices. It’s critical that...
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September 01, 2020

Top 5 Balance Sheet Hedges That Create Risky Positions

Posted by Jeff Goggins
Once a company establishes a balance sheet program, it likely runs on auto-pilot from then on. Exposures are gathered, forecasted, netted, hedged and adjusted inter-month, and the results of the program are reported — but rarely is there a ...
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August 31, 2020

What to Watch for as LIBOR Fades Into History

Posted by Ruth Hardie
Businesses mired down by the impacts of COVID-19 are facing enough difficulties. But the march to LIBOR’s end has continued unabated. Governing bodies across the globe have made it clear that LIBOR will not extend beyond 2021. To date, we have...
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