Marc Henrard - Multi-curve framework

 ISDA has published a consultation on the fallback for ICE Swap rates . The situation related to ICE swap rates is complex and no trivial solution exists. But this situation was predictable and has been predicted for several years. The issues under discussions where already present in my first answer to ISDA consultations in 2018. The proposals in the ISDA consultations are based on approximate spread for GBP and USD LIBOR swap rates versus OIS rates. Those approximations have been proposed by the Sterling working group and ARRC. Some approximations are necessary due to the early decision taken by ISDA and regulators on the transition. Unfortunately the working papers proposed by the working groups hide significant issues and do not propose a balanced analysis of the problem. From public documents available one can infer that the working groups had information indicating that their working papers did not provide all relevant information and did not include them. At ISDA's request, ...

This time I have also included the CHF figures. I will start there. The year-to-date (YTD) figures at LCH are LIBOR IRS at 1,670 bn and SARON OIS at 505 bn. LIBOR swaps represent still more than 75% of the notional (we have not included the FRA in the LIBOR part). Unfortunately PV01 figures are not available on LCH site, but one can guess that they would be worst for SARON. From the ISDA Clarus RFR adoption indicator (May 2021 as the June one is not available yet), it seems that globally the portion of SARON is below 15%. (*) Note that LCH has changed his volume report, with volume below 2Y as one bucket (instead of 2: <1Y and 1Y-2Y) and volume above 5Y as 3 buckets. In USD, the SOFR usage is increasing steadily but is still at relatively low levels. Over the month of June, 2,179 bn have been cleared at LCH; an increase of 23% form the previous record level in April. But the SOFR figures are still well below the LIBOR or even the Fed Funds levels. YTD, the LIBOR swap level at LCH...