SOFR trades transact below zero for the first time

Some US Treasury repos used to calculate the secured overnight financing rate (SOFR) transacted at negative rates on March 27 and March 30, meaning certain traders were paid to borrow cash. 

On March 27, a sliver of transactions – in the first percentile of the volume-weighted distribution of SOFR-eligible repos – traded at -0.01%, and on March 20 at -0.02%, the lowest since the benchmark started printing in April 2018.

The overall SOFR rate, which is the volume-weighted median of all eligible

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