Rate volatility highlights benchmark flaws

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

Dollar-stress

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.

Three-month

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 info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

Register

Want to know what’s included in our free membership? Click here

This address will be used to create your account

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here