
Prime fund exodus threatens SOFR credit add-on
Falling commercial paper and certificate of deposit issuance could leave new benchmarks with data gaps

An exodus of assets from prime money market funds could obstruct efforts to build credit-sensitive alternative reference rates in the US dollar market, as unsecured short-term funding data may be insufficient to construct robust curves out to 12 months, experts say.
Fidelity, Northern Trust and Vanguard have shifted out of commercial paper (CP) and institutional certificates of deposit (CD) since July, contributing to a 10% fall in issuance since year-end 2019.
These instruments are critical
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