Trésorier/Treasurer magazine - N°91 - Oct/Nov/Dec 2015 - (Page 61)
Solvay BS, ULB
a) civil and criminal charges can be raised against any individual wrongdoing
in the LIBOR calculation process,
b) the LIBOR should be transactionbased or corroborated as much as
possible by transaction data, and
c) a new administrator must be identified in place of the British Bankers
Association (BBA). The new administration was granted to NYSE Euronext
renamed IBA later on, by the Hogg
committee on 9 July 2013. As from
February 2014, IBA was authorised and
regulated by the FCA for administering the LIBOR.
Last and least, the Wheatley review
provides the "publication of individual
LIBOR submissions after a delay of 3
months to reduce potential manipulation
and any signalling of creditworthiness."
The new proposal of IBA
Following the recommendations by the
Wheatley review, IBA devised a methodology and is currently exchanging on it
with market participants through position papers. The consultation is open for
comments until October 15. It proposes a
waterfall approach for submissions, i.e. :
a) Submitters should first try to produce
a volume weighted average transaction price (VWAP) in the following:
unsecured deposits, CPs and CDs (primary issuances only), and potentially
short-term FRNs and FCDs.
b) In the event that insufficient relevant
transactions exist over the current period considered, extrapolations from
historical prices would be accepted or
Last, among the other new key considerations, it is proposed to compute the
VWAP over a transaction window with
some variants (24h, current business day,
changing the submission time from 11h to
13h30, etc...) before the submission time,
instead of referring to a particular point
in time only.
Understanding what the main reference rate represents, as well as its
dynamics, deserves some attention.
1 . Now CEO of the Financial Conduct Authority (FCA) but then managing director of the Financial Services Authority (FSA).
c) Finally, expert judgment will be the
last resort, based on an agreed formulation and framework, if deemed more
consistent than the previous possibilities given market and macroeconomic
conditions at the time of submission.
In terms of widening the base of submitters, IBA will maintain a panel of 11 to 18
bank members for USD, GBP, EUR, CHF,
and JPY. Second, bank representative
funding transactions with other eligible
counterparties will be included: central
banks, sovereign wealth funds, governmental entities, non-bank financial
institutions such as money managers and
insurers, supranational organisations,
and corporates. Also, funding locations
other than London would be considered
provided the group is represented in
After the LIBOR rigging scandal, the
Wheatley1 commission worked on a
review, produced in September 2012.
Out of this ten-points review, three (3)
deserve to be highlighted:
As for point (b), the idea of corroborating
submissions with transaction data comes
together with requirements linked to
the availability and representativeness of
such data: (i) concentration on currencies
and tenors with sufficient trading data,
(ii) a wider participation in the compilation process, and (iii) the possibility
to revaluate the LIBOR submission in
case of a difficulty to produce it based on
LE MAGAZINE DU TRESORIER / TREASURER MAGAZINE
On July 15, the ICE Benchmark Administration Ltd. (IBA) published its second
position paper on the new LIBOR. It is
due to be in use as from January 2016.
IBA is conducting a series of roundtables
to exchange with market representatives on its new definition and calculation mechanisms. What's new for this
benchmark, as it is the historical floating
reference of swap contracts? How far this
rate could be impacted by the regulatory
evolution around it?
/ NOV / DEC 2015
The LIBOR "nouveau" has arrived...
Table of Contents for the Digital Edition of Trésorier/Treasurer magazine - N°91 - Oct/Nov/Dec 2015
Table of contents
FINANCIAL HIGHLIGHTS Luxembourg Tax News
INTERVIEW Ben Poole Editorial Services
To What Extent Should Treasurers’ Activities be further centralized?
Capital Markets Union (CMU)
Upsurge in fraud
Using analytics to cope with uncertainty and volatility for treasury
IFRS 9 : Nécessite d’une reorganisation bancaire majeure
Taux zéro : de nouvelles stratégies pour un nouveau monde
Investing surplus cash in repos
Warranty & indemnity insurance
Making the switch from Excel to a Treasury System
Corporate treasury in the digital age
Fini le casse-tête des paiements internationaux pour les entreprises !
Bank Independent Cash Pooling
Gérer l’offre de retraites : un choix complexe pour l’entreprise
15 MINUTES AVEC CIAM
THE FINANCIAL RISK OBSERVATORY
LIFE BEYOND NUMBERS
Trésorier/Treasurer magazine - N°91 - Oct/Nov/Dec 2015