BofA, UBS to Base Interest-Rate Swaps on DTCC Repo Index
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Bank of America Corp., UBS AG and Nomura Holdings Inc. will support interest-rate swaps based on the Depository Trust & Clearing Corp.’s general collateral finance repurchase rate.
The scandal impairing confidence in the London interbank offered rate, a benchmark for $360 trillion in securities worldwide, has made bankers and investors seek alternative interest-rate measures that are based on actual trades rather than submitted quotes. Traders in the $400 billion general collateral repo market have said they prefer that interest-rate measure to the U.S. federal funds rate, because it’s more widely traded and administered by an independent third party.