Repo clearing rule could raise SOFR volatility – OFR analysts
Analysis of 2022 data finds large divergence in tail rates but no change in median
Rules forcing large portions of the US Treasury repo market into central clearing could increase volatility in the secured overnight financing rate (SOFR), according to new research published by the Office of Financial Research, though the authors note it is unlikely to have any significant directional impact on the main US borrowing benchmark.
Research conducted by OFR analysts Ashlyn Cenicola and
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