Comerica takes $91m hit on BSBY discontinuation
Bank forced to re-designate $7bn of receive-fixed swaps as SOFR-referencing hedges
Comerica took a $91 million loss on interest rate swaps after Bloomberg announced the discontinuation of its short-term bank yield index, or BSBY, on November 15, 2023, as derivatives linked to the benchmark lost their hedge-accounting privileges.
Last month, the US regional bank – one of the few to tap Bloomberg’s benchmark in the wake of US Libor’s sunset – disclosed it had determined that $7 billion of receive-fixed swaps linked to BSBY-referencing loans would not qualify for transitional
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