Sunday 28 February 2021

Marc quoted in the press: Practice Insight - IFLR

Marc was quoted in the press in an article related to the LCH steering away from ISDA fallback: Industry broadly supports LIBOR big bang switch (subscription required).

The quotes are

While the proposal crafted by LCH may look like an ideal solution for many market participants, it could come at a price, which some deem too high. “I encouraged my clients to consider this approach even before it was proposed by LCH, but we should bear in mind that clearinghouses look at what is in their books – not at the market,” said Marc Henrard, managing partner at muRisQ Advisory.. “They want to push the bifurcation problem out to end-users, who in turn will have to deal with the issue on their bilateral trades and manage the bilateral-to-cleared basis risk."

Bringing forward this proposal earlier and presenting a common mechanism that can also apply to bilateral trades would have made for a smoother process, Henrard added.
In addition, there is a risk that LCH's solution could fragment the swaps market, as liquidity will be split between the trades referencing RFRs and those using ISDA’s fallback rates. “Market participants should make sure they have the right tools in place to compute any small residual valuation difference,” said Henrard. “LCH’s proposal may not work out to everyone’s advantage, and some may want to adjust their positions ahead of the big bang.”

Thursday 25 February 2021

CQF Institute Workshop: Benchmarks in Transition

Marc Henrard will present a two half-day workshop

Benchmarks in Transition (LIBOR and Overnight)

organized by the CQF Institute on 18 May 2021 and 19 May 2021 (on-line 13:00 - 17:00 BST).

The agenda of the workshop can be found on the organizer website:

The agenda of the workshop will be similar to the one proposed on our training page.

The workshop is also availabe as a in-house course for financial institutions. If you want to be ahead in the transition game, contact us for LIBOR fallback and discontinuation: trainings, workshops, advisory, tools, developments, solutions.

Wednesday 17 February 2021

Presentation at the Interest Rate Reform Conference

Marc Henrard will present a seminar at

The 3rd Interest Rate Reform (Ibor Transition) Conference

which will take place on-line from Monday 22 February to Friday 26 February 2021. The agenda of the conference can be found on the organizer web site:

Marc's talk will take place on Wednesday 24 November at 13:00 GMT and will be titled Benchmarks in transition: Hidden convexities.


  • Overnight transition: why is it important to everybody?
  • Overnight transition: where does it appear?
  • Modelling approach
  • Impact on OIS
  • Impact on Swaptions
  • Impact on LIBOR forwards

The proprietary research underlying the presentation will be detailed in a forthcoming working paper. The link to the paper will be added soon.