BAP launches US dollar-peso cross currency swap market

The USDPHP CCS market will benchmark using the US-dollar Secured Overnight Financing Rate or SOFR. The SOFR replaced the London Interbank Offered Rate which will expire globally on Friday, June 30. It was created by the US Federal Reserve as an alternative risk-free rate or RFR in 2018 as an overnight rate.

Seven banks have signed up as regular participants in the USDPHP CCS including local banks China Banking Corp., Rizal Commercial Banking Corp., Robinsons Bank Corp. and Union Bank of the Philippines. The foreign banks are Mizuho Bank Ltd., MUFG Bank Ltd. and the Australia and New Zealand Banking Group or ANZ.

“The USDPHP CCS market involves a Philippine peso fixed rate and a US dollar floating swap with standard tenors of 1 year, 2 years, 3 years, 4 years, 5 years, 7 years and 10 years. This will use the US dollar Secured Overnight Financing Rate, or SOFR, as the floating rate benchmark for the US dollar leg,” said the BAP.

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