Libor trap lurks in 2021 US stress tests

Using SOFR, borrowing could boom and revenues collapse

Dollar-Libor-stress-tests montage

As Libor’s likely demise approaches, banks are fretting over how to model the adoption of replacement risk-free rates in next year’s round of US regulatory stress tests.

During March’s coronavirus-related economic shock, the spread between US dollar Libor and the secured overnight financing rate, SOFR, blew out. If a similar dislocation was applied in the 2021 stress test, banks would suffer a sudden drain in liquidity as borrowers tap into credit lines at rock-bottom rates. Meanwhile, an

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 or view our subscription options here:

You are currently unable to copy this content. Please contact 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 View our subscription options


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

This address will be used to create your account

Most read articles loading...

You need to sign in to use this feature. If you don’t have a 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