NY Fed Publishes SOFR

Posted by on Apr 3, 2018 in LIBOR, Recent News and Blog | No Comments

The New York Federal Reserve began publishing the Secured Overnight Financing Rate (“SOFR”) today.  The first ever rate published by the Fed came in at 1.80%.  Here is a comparison of other short-term rates: SOFR:  1.80% Fed Funds:  1.68% 1 Month USD LIBOR:  1.8775% 3 Month USD LIBOR:  2.3208% You can read more about SOFR […]

Treasury Repo Will Be the New LIBOR

The Alternative Reference Rates Committee voted to adopt a new index to eventually replace USD LIBOR as the benchmark index for the US derivatives market.  The lack of transparency and faith in the USD LIBOR index since 2008 led the Committee to explore several alternatives.  They ultimately chose Treasury backed repurchase agreements (or “repos”) over the Overnight […]

Global Banking Committee to Vote on Replacing USD LIBOR

Posted by on Jun 28, 2017 in LIBOR, Recent News and Blog, Swaps | No Comments

After the 2008 financial crisis and the LIBOR-rigging scandal that plagued the financial markets, a committee of global banks is considering replacing LIBOR as the benchmark index for derivatives and corporate lending.  The two front runners for the replacement index are the Overnight Bank Funding Rate and Treasury repo rates.  If the act gains favor […]

GASB 72 Set to Affect June 30, 2016 Financials

Posted by on May 11, 2016 in Uncategorized | No Comments

In February of last year, the Government Accounting Standards Board (“GASB”) addressed financial reporting issues related to fair value measurements by issuing GASB Statement No. 72.  The Statement changes the way municipal governments are required to carry the value of certain financial instruments on their financial statements.  KPM Financial helps its clients prepare for these changes […]

Fed Makes Swaptions Cheaper

Callable swaps are a combination of an interest rate swap with an embedded, offsetting swaption.  There are several factors that go into pricing swaptions and volatility is one of these.  One of the unintended consequences of the Fed’s decision to purchase mortgage securities is a reduction in volatility.  From the graph below, we can see […]

SIFMA, MMD, and MMA Clarified

Posted by on Jul 31, 2012 in LIBOR, Recent News and Blog, Swaps | No Comments

Municipal market indices – such as SIFMA, MMD, and MMA – can be valuable to investors and issuers.  However, many are not aware of how they’re calculated or what they represent.  What are they?  How can they be used?  Are they susceptible to manipulation?  The MSRB intends to find out: http://www.bondbuyer.com/issues/121_146/msrb-to-focus-on-swap-indexes-1042403-1.html

SIFMA vs. LIBOR: Can SIFMA be manipulated like LIBOR?

Posted by on Jul 24, 2012 in LIBOR, Recent News and Blog, Swaps | No Comments

SIFMA:  The SIFMA index is a market-based rate based upon supply and demand in the roughly $300 billion short-term, tax-exempt bond market.  The index itself is based on a sampling of approximately 600 issues within this market. LIBOR:  The USD LIBOR index is a sampling of several banks’ “inter-bank” borrowing rates.  The index is based […]

Ten Year Treasury Yield Hits All Time Low

Posted by on Jul 23, 2012 in Recent News and Blog, Treasury Yield | No Comments

10 Year Treasury reaches new all-time low.  Based on the outlook for the domestic and European economies, we may be here a while.  You can get updates on Treasury yields at the following site: http://www.bloomberg.com/markets/rates-bonds/government-bonds/us/

LIBOR: Affecting Muni Swap Users?

Posted by on Jul 22, 2012 in LIBOR, Recent News and Blog, Swaps | One Comment

Good surface article on how some muni swap users may be affected by alleged LIBOR rigging scheme: http://www.bondbuyer.com/issues/121_130/libor-scam-cost-muni-issuers-millions-1041633-1.html