SOFR basis blows out amid CCP discounting changes

Robert Mackenzie Smith
05 Aug 2020

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

The price difference between longer-dated interest rate swaps benchmarked to the secured overnight financing rate (SOFR) and the effective federal funds rate (EFFR) has tripled since mid-June.

At 30-year maturities the SOFR-EFFR basis jumped from two basis points on June 15 to a high of 7.8bp on July 21, according to Bloomberg data. The basis now sits at 6bp.

Interest rate strategists say the widening is likely a result of dealers and hedge funds positioning for an expected spike in the SOFR

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact [email protected] to find out more.

You are currently unable to copy this content. Please contact [email protected] to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email [email protected]