Cracking the Genetic Code of Inflation – the future is “metallic gray”

My ex-colleage and good friend Ken Leech often recounted that “the story of interest rates is the story of inflation”. Put differently, where inflation goes determines where interest rates go. Today, inflation is considered a mystery. Despite the trillions of dollars poured into the US, European and Japanese economies over the past ten years, inflation is …

The end of LIBOR – Rumors of my death have not been exaggerated (RODNE)

This review of the transition from LIBOR markets, initiated by the FCA statement in July  2017, was written in September 2017, whilst in a previous life. It remains relevant, albeit out of date. The full document was long and intended to provide a glossary of the issues clients would face as we progressed towards the …

LIBOR / RODNE – References and Appendices.

In this post we detail the reference material supporting a series of posts addressing the end of Libor and her relatives. References Reforming LIBOR and Other Financial Market Benchmarks - Darrell Duffie and Jeremy C. Stein, JEP spring 2015 The Alternative Reference Rates Committee June 16, 2017 Presentation Materials Market Participants Group on Reforming Interest …