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Articles tagged by reference rates

Bank of Canada Commences New Reference Rate Publication The Bank of Canada has followed through on a plan to change how it publishes reference FX rates to reinforce the distinction between reference rates used for benchmark fixings and those for information purposes only. From March 1, Canada’s central bank began publishing new data for 26 currencies, and stressed they were “intended for statistical, analytical and informational purposes only”. The new rates are published once a day, by 16:30 Eastern time and represent a daily average rate for that currency against the Canadian dollar.
US to Replace Libor The US appears to have settled upon a reference rate to replace the current London Interbank Offered Rate (Libor). At a meeting last week, the Alternative Reference Rates Committee (ARRC) identified a broad Treasuries repo financing rate, which the Federal Reserve Bank of New York has proposed publishing in cooperation with the Office of Financial Research (OFR), as the rate that, in its consensus view, represents best practice for use in certain new US dollar derivatives and other financial contracts.
CME to Launch SOFR Futures CME Group has announced it will launch monthly and quarterly Secured Overnight Financing Rate (SOFR) futures on May 7, pending regulatory review. The announcement comes one day after the Federal Reserve Bank of New York said it would start publishing Treasury repo reference rates from April 3. The futures will be based on the Alternative Reference Rates Committee-endorsed SOFR index, and although correlated with Libor and effective federal funds rates, SOFR, a broad Treasury repo index, is distinct from these rates, CME says.