Did the US Treasury read my blog?

In September 2014, in my blog Change of benchmark overnight index is a difficult task, I described why I thought that a change of benchmark for rate paid on collateral or as a reference for swap is a difficult task. The above blog was a reaction to comments from senior derivative figures indicating the opposite.

Fast forward two years, it seems that my message has been heard by the US Treasury. Yesterday, in another Risk article titled US Treasury: prepare for a post-Libor world (subscription required), one can read:

Daleep Singh, US department of the Treasury:
Any transition away from a dominant benchmark will surely be complex and lengthy[…]

To compare with my blog:
Change of benchmark overnight index is a difficult task.
Run, up to the maturity of the longest trade existing in the world linked to fed funds, two parallel markets.

Risk magazine
Concern among market participants […] A similar move could result in disputes between counterparties about the value of legacy portfolios.

To compare to my blog:
[...]but in the same way all the parties have to agree on the valuation (as an up-front fee or a fee over the life of the trade) impact of the transfer.

My task is not over, I still have to have my rant about the term "OIS discounting" (see the blog referenced above and my multi-curve book) heard better. There is still too much confusion between index referred in swaps, the fixed rate of a swap, the indexed referred in CSAs and the rate used for discounting.

My regular readers will have noticed that this is not the first time a subject discussed in my blog appears in the press a couple of months or years later. Recently it has been the case of FRTB / AD (see  Good news for AD? ) and coupon payment in IM (see Continuous dividend v discrete cash flows)


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