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.
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)