NEWSLETTER: Texas bank hedges duration with Eris SOFR

Submitted by greg.carter on Thu, 11/02/2023 - 17:41
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  • Eris SOFR is featured in a recent case study from Hedgestar, an independent provider of outsourced valuation and hedge accounting services
  • It’s a real-world example of a Texas-based bank using Eris SOFR to protect against rising interest rates, and the positions were assigned as FASB fair-value hedges
  • Many banks considered swap hedges in 2020-2021; the simplicity of Eris SOFR helped this bank move forward quickly and lock in rates before they rose more than 500 basis points
  • This recent article from CME Group’s Eric Leininger provides additional insight on Eris SOFR for Bank Asset/Liability Management

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