Shallow Sofr markets threaten systemic Libor issuers

Benchmark rate interest swap future adobe Stock 230x150
By Alexander Saeedy
06 Mar 2019

The end of Libor is nigh, but the requisite market activity to build Sofr — the alternative to dollar Libor that has been pitched — into a predictable term rate is still remarkably sparse, potentially leaving issuers dependent on Libor with an unreliable alternative if the rate is no longer quoted after 2021.

Though some observers believe that Sofr is a truer market rate than survey-determined Libor, the legwork required to turn the overnight repo rate into a term rate for tenored debt is proving substantially more difficult than some regulators and bankers -- such as those sitting on the Alternative ...

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