In 2008, first suspicions arose that the London Interbank Offered Rate (LIBOR) had been systematically manipulated by financial institutions involved with its fixing; in June 2012, several major international banks officially admitted to this. The regulatory response could not have been...

This paper econometrically models the dynamics of the Chilean interbank swap yields based on macroeconomic factors. It examines whether the month-over-month change in the short-term interest rate has a decisive influence on the long-term swap yield after controlling for other factors, such as...

In this paper we investigate the price, volatility and micro-level effects of central bank swap lines during the 2020 pandemic. These policies lowered the ceiling on covered interest rate parity violations and reduced volatility following settlement of swap line auctions. We then combine...

We show that term premia rise when volatility increases in Brazil, whereas the literature shows that volatility is negatively correlated with term premia in advanced economies. We analyze how marketexpectations differ for a subset of options and futures and whether those expectations accurately...

DI1 futures are referenced against one-day interbank deposits (CDI) in the Brazilian onshore market. They have an underlying rate R computed as the average of 1D CDI rates compounded daily on a Bus/252 day count basis, where Bus/252 is equivalent to Act/252.Futures are short interest rate...

With the transitions to overnight benchmarks as the main benchmarks in some currencies, futures based on overnight rates are becoming more common. The most traded futures on overnight rates settle against compounded rates. The pricing of those futures requires some convexity adjustments with an...