Is SOFR better than LIBOR?

In this blog post, I summarise the mechanics and whys behind the choice of discounting rates, collateral management and evaluate whether the move to SOFR is an improvement over LIBOR. In the next article, I will write on what banks can do to transit from fixed rate, fixed term loans and deposits to floating rate, …

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“Adjustment Disorders” post crisis

Credit Value Adjustment (CVA) is a challenge and itself is a complicated topic to handle. While money managers concern themselves with what moves an instrument value and the cost of financing the position, CVA traders have to care much more, seemingly assuming the dual roles of a middle office responsible for counterparty credit risk "monitoring" …

The ‘Original Sin’ an unavoidable path?

Despite EM and AxJ portfolio managers praising Asia's stronger reserve balance, covered foreign currency exposure, leading growth rates and political stability, there are still some who would panic on the withdrawal of liquidity from the Fed and ECB - the authorities who controls the supply of USD and EUR that are the most internationalised currencies. …

The Art of War: How to beat a strategist in the futures market?

Strategy: core directional choices that best best moves you into your desired future Tactics: specific actions that will best implement your strategies Without a core strategy to anchor all tactics suggestions to see which best FIT (feasible, impactful, timely) the strategy, one could randomly suggest tactics that makes the discussion chaotic. Focus on one strategy …