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The Philippine peso interest rate swaps market is expected to get a reboot when a new overnight reference rate, replacing the market’s now discontinued foreign exchange-implied benchmark, is incorporated into documentation, say sources.
The Bangko Sentral ng Pilipinas’s variable reverse repo rate will be added in the International Swaps and Derivatives Association’s next update to its interest rate derivatives definitions, due in November. The new benchmark will be referred to as the peso
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