Rate volatility highlights benchmark flaws

Libor and SOFR in spotlight following market rout, as both decouple from commercial paper


Extreme dislocations in US short-term funding markets have exposed cracks in core interest rate benchmarks – both old and new – raising new questions over whether Libor and its intended successor, the secured overnight financing rate (SOFR), are appropriate measures for lending markets.

As concerns over the economic impact of the coronavirus raged through the financial system, a “cash crunch” for US dollars jolted funding markets, sending interest rate benchmarks out of whack.


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