Tuesday, 28 July 2020

muRisQ in the press: SOFR related data in Risk.Net

The (difficult) transition to SOFR continues. According to the different press reports, the take-over is slower than expected and in some niche market, LIBOR-linked FRNs are growing faster to SOFR-linked ones. Some of those isses are discussed in a recent Risk.Net article: Asia debt market suffers SOFR inertia.

Even if Bloomberg has started to publish SOFR compounded data, the specialized press still relies on data computed and provided by muRisQ Advisory. The preference to muRisQ data is visible in the Figure 4 of the above mentioned article.


All the graphs and figures in our blogs, seminars and videos are produced by production grade libraries. Our libraries include the Fallback Transformers which allow to apply the exact fallback details to actual trades and portfolios. The transformation details include overnight composition, period offset, spread applicable, and discontinuation date. They are suitable for what-if analysis and risk management.



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Sunday, 5 July 2020

Marc quoted in the press: Practice Insight - IFLR

LIBOR transition is certainly of great interest to the quant side of the financial industry, as illustrated by numerous seminars over the last years (see here for a list to which we contributed) but also numerous columns, interviews, and quotes from Marc in Risk (eg Signing the LIBOR fallback protocol: a cautionary tale, Pandemic and LIBOR, LIBOR transition mismatch fear, muRisQ quoted in ISDA consultation summary).

The transition has also an impact on the legal side of the financial profession. A recent slightly provocative blog by Marc (Where is ESTR?) has been the starting point of an article in Practice Insight - IFLR. Practice Insight is a "news service for lawyers, tracking how financial institutions are implementing Europe's capital market rules" (subscription required).