The Alternative Reference Rates Committee (ARRC) hosted a vendor workshop recently at the Federal Reserve Bank of New York, which I attended and in this article I cover some of the key points from the workshop. Required SOFR interest rate characteristics Required trade economics and processing for SOFR-based derivatives and cash instruments Compound in arrears […]

The case for a Term Risk Free Rate (TRFR) to support the transition of cash instruments and products has been made by BoE and US ARRC over the past year. The TRFR is defined as a rate known in advance (similar to the current Libors) but based on RFRs in the relevant currency.
But the issue of how to construct an IOSCO-compliant TRFR has been a challenge for market participants and benchmark administrators.

SOFR traded notional hit $50bn in monthly notional for the first time. We take a look at the details of some of the block trades that drove this notional higher. LCH data shows that the amount of risk traded has been between $4m and $10m DV01 during May and June. We show how our data […]

The Swedish Banker’s Association is looking to introduce an Alternative Reference Rate for SEK markets. At the moment, STIBOR is the underlying index for SEK swaps. There are on-going consultations to introduce a Risk Free Rate in Swedish markets. We take a look at the details. SEK Markets Today As it stands today, there are […]