Search
 
News

Battle of the Benchmarks Continues

LIBOR's heir presumptive, SOFR, has been hindered recently by volatility in the repo market.

By Alexandra Harris | April 22, 2019 at 05:07 PM

The benchmark being eyed as a potential replacement for dollar LIBOR (the London interbank offered rate) is facing renewed scrutiny after a year-end surge in the market underpinning the new rate. With more volatility possible, Wall Street is increasingly wondering if the nascent Secured Overnight Financing Rate (SOFR) will be up to the task.

Last month’s jump in rates on overnight Treasury repurchase agreements—the market that supports SOFR—pushed the benchmark higher by almost 70 basis points over a two-day span. It has since retreated and was set at 2.43 percent for Wednesday. But given that both repo and SOFR are also susceptible to swings in Treasury-bill supply, which itself could become more erratic as the U.S. grapples with the reintroduction of the debt ceiling, some market veterans are forecasting further fluctuations ahead.

Complete your profile to continue reading and get FREE access to Treasury & Risk, part of your ALM digital membership.

Your access to unlimited Treasury & Risk content isn’t changing.
Once you are an ALM digital member, you’ll receive:

  • Critical Treasury & Risk information including in-depth analysis of treasury and finance best practices, case studies with corporate innovators, informative newsletters, educational webcasts and videos, and resources from industry leaders.
  • Exclusive discounts on ALM and Treasury & Risk events.
  • Access to other award-winning ALM websites including PropertyCasualty360.com and Law.com.

Already have an account?

 

Recommended Stories

Tenacious Inflation Proves Hard to Tame

Tenacious Inflation Proves Hard to Tame

Reade Pickert, Vince Golle & Augusta Saraiva |

In February, housing costs helped deliver a larger-than-forecast 0.5% gain in so-called core inflation, which excludes food and energy

Treasury & Risk

Join Treasury & Risk

Don’t miss crucial treasury and finance news along with in-depth analysis and insights you need to make informed treasury decisions. Join Treasury & Risk now!

  • Free unlimited access to Treasury & Risk including case studies with corporate innovators, informative newsletters, educational webcasts, and resources from industry leaders.
  • Exclusive discounts on ALM and Treasury & Risk events.
  • Access to other award-winning ALM publications including PropertyCasualty360.com and Law.com.

Already have an account? Sign In Now
Join Treasury & Risk

Copyright © 2023 ALM Global, LLC. All Rights Reserved.