Trésorier/Treasurer magazine - N°91 - Oct/Nov/Dec 2015 - (Page 61)

The Risk Observatory Solvay BS, ULB Hugues Pirotte 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 promoted. 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). - OCT N°91 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 London. - 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 transaction data. 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... 61

Table of Contents for the Digital Edition of Trésorier/Treasurer magazine - N°91 - Oct/Nov/Dec 2015

Cover
Table of contents
EDITORIAL
FINANCIAL HIGHLIGHTS Luxembourg Tax News
INTERVIEW Ben Poole Editorial Services
FOCUS
To What Extent Should Treasurers’ Activities be further centralized?
Capital Markets Union (CMU)
Upsurge in fraud
FORUM
CEO impersonation
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
CORPORATE FINANCE
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
NEWS
LIFE BEYOND NUMBERS

Trésorier/Treasurer magazine - N°91 - Oct/Nov/Dec 2015