Waterfall methodology - Revision history

imported>Doug Williamson: Layout.

2022-04-25T21:12:40Z

Layout.

← Older revision		Revision as of 21:12, 25 April 2022
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	== Other ~~links~~ ==		== Other link ==
	[https://www.treasurers.org/hub/blog/LIBORtransition/Guidance/onEURIBOR/fallbacks LIBOR transition: EURIBOR fallbacks - ECB publishes recommendations, ACT Blog 18 May 2021]		[https://www.treasurers.org/hub/blog/LIBORtransition/Guidance/onEURIBOR/fallbacks LIBOR transition: EURIBOR fallbacks - ECB publishes recommendations, ACT Blog 18 May 2021]

imported>Doug Williamson: Update for LIBOR transition.

2022-04-25T21:12:20Z

Update for LIBOR transition.

← Older revision		Revision as of 21:12, 25 April 2022
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	Waterfall methodologies are designed to improve consistency and objectivity.		Waterfall methodologies are designed to improve consistency and objectivity.


	~~:<span style="color:#4B0082">'''''Uniform determination methodology'''''</span>~~

	:From mid-2018 a new, uniform determination methodology, the “waterfall methodology”, by which each contributing bank calculates the rates it submits, was progressively introduced. The underlying interest - the market or economic reality that the benchmark seeks to measure - remains the same.

	~~:The “waterfall” methodology refers to the three bases for a bank’s rate submission... the first practical method being used in any case according to the information available...~~

	~~:The three bases in the LIBOR waterfall are:~~

	~~:Level 1: Transaction-based~~

	~~:Level 2: Transaction-derived~~

	~~:Level 3: Expert judgement~~


	:In summary, the new methodology is more rooted in actual transactions as far as possible. Using less “judgement” that can involve a (possibly unconscious) element of “smoothing”, contributed rates are expected to vary up and down more by small amounts each day. And, recognising the reality that banks short-term-fund in the wider money-markets now, rather just inter-bank, the range of transactions considered is being widened and this can mean small rate differences.

	:Following the successful completion of the transition period, LIBOR is now, for each currency/maturity combination, the rate output as the arithmetic mean of the relevant panel banks’ waterfall-methodology based submissions, excluding the highest and lowest quartile of submissions.

	~~:''The Treasurer's Wiki - LIBOR.''~~

imported>Doug Williamson: Add definitions. Sources: linked pages.

2021-05-27T09:57:56Z

Add definitions. Sources: linked pages.

← Older revision		Revision as of 09:57, 27 May 2021
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	''~~Risk-free rates - valuation~~.''		1. ''Project management.''

			A linear and sequential approach to project management.

			Contrasted with ''agile'' methodology.


			2. ''Risk-free rates - valuation.''

			Similarly predetermined steps and prioritisation in determining the basis of contributions to the calculation of risk-free interest rates.

			Waterfall methodologies are designed to improve consistency and objectivity.


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	:''The Treasurer's Wiki - LIBOR.''		:''The Treasurer's Wiki - LIBOR.''


			3. ''Other contexts.''

			Similar approaches in other contexts.


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	* [[Liquidation]]		* [[Liquidation]]
	* [[Preferential creditor]]		* [[Preferential creditor]]
			* [[Project management]]
	* [[Risk-free rates]]		* [[Risk-free rates]]
	* [[Senior debt]]		* [[Senior debt]]
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	* [[Valuation]]		* [[Valuation]]
	* [[Waterfall]]		* [[Waterfall]]


	== Other links ==		== Other links ==

imported>Doug Williamson: Add link.

2021-05-27T09:48:31Z

Add link.

← Older revision		Revision as of 09:48, 27 May 2021
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	* [[Agile]]		* [[Agile]]
	* [[Equity]]		* [[Equity]]
			* [[Fallback]]
	* [[Funding stack]]		* [[Funding stack]]
	* [[Junior debt]]		* [[Junior debt]]

imported>Doug Williamson: Add other link.

2021-05-27T09:08:33Z

Add other link.

← Older revision		Revision as of 09:08, 27 May 2021
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	* [[Valuation]]		* [[Valuation]]
	* [[Waterfall]]		* [[Waterfall]]

			== Other links ==
			[https://www.treasurers.org/hub/blog/LIBORtransition/Guidance/onEURIBOR/fallbacks LIBOR transition: EURIBOR fallbacks - ECB publishes recommendations, ACT Blog 18 May 2021]

	[[Category:Accounting,_tax_and_regulation]]		[[Category:Accounting,_tax_and_regulation]]

imported>Doug Williamson: Add category.

2021-05-27T09:00:45Z

Add category.

← Older revision		Revision as of 09:00, 27 May 2021
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	* [[Valuation]]		* [[Valuation]]
	* [[Waterfall]]		* [[Waterfall]]

			[[Category:Accounting,_tax_and_regulation]]
			[[Category:The_business_context]]
			[[Category:Identify_and_assess_risks]]
			[[Category:Manage_risks]]
			[[Category:Risk_frameworks]]
			[[Category:Cash_management]]
			[[Category:Liquidity_management]]

imported>Doug Williamson: Create the page: Source related pages.

2021-05-27T08:58:33Z

Create the page: Source related pages.

New page

''Risk-free rates - valuation.''

:<span style="color:#4B0082">'''''Uniform determination methodology'''''</span>

:From mid-2018 a new, uniform determination methodology, the “waterfall methodology”, by which each contributing bank calculates the rates it submits, was progressively introduced. The underlying interest - the market or economic reality that the benchmark seeks to measure - remains the same.

:The “waterfall” methodology refers to the three bases for a bank’s rate submission... the first practical method being used in any case according to the information available...

:The three bases in the LIBOR waterfall are:

:Level 1: Transaction-based

:Level 2: Transaction-derived

:Level 3: Expert judgement

:In summary, the new methodology is more rooted in actual transactions as far as possible. Using less “judgement” that can involve a (possibly unconscious) element of “smoothing”, contributed rates are expected to vary up and down more by small amounts each day. And, recognising the reality that banks short-term-fund in the wider money-markets now, rather just inter-bank, the range of transactions considered is being widened and this can mean small rate differences.

:Following the successful completion of the transition period, LIBOR is now, for each currency/maturity combination, the rate output as the arithmetic mean of the relevant panel banks’ waterfall-methodology based submissions, excluding the highest and lowest quartile of submissions.

:''The Treasurer's Wiki - LIBOR.''

== See also ==
* [[Agile]]
* [[Equity]]
* [[Funding stack]]
* [[Junior debt]]
* [[LIBOR]]
* [[Liquidation]]
* [[Preferential creditor]]
* [[Risk-free rates]]
* [[Senior debt]]
* [[Seniority]]
* [[Subordinated debt]]
* [[Valuation]]
* [[Waterfall]]