Regulators want corporates and their banks to price new loans and other financial exposures using a USD Libor-replacement rate such as SOFR by the year-end deadline—just nine months away. But who should take the lead in this transition—the banks or the corporates? That question and other ...
interestratefuturesinanarrowwindowaroundeachannouncement.Morespecifically,the GSSandNSseriesspanroughlythefirstyearoftheinterest-ratetermstructureviaalinear combinationoffederalfundsfuturesandEurodollarfutures.Themarketforfederalfunds futuresisliquidenoughtomeasureexpectationsofratesroughlythreemonthsinthefuture. ...
The reason is because the option’s underlying is NOT the daily overnight SOFR rate but instead the June 3-month SOFR Futures contract. That contract closed today at 95.10 (100 minus 95.10 = 4.9%). So, the market expects overnight SOFR to average 4.9% between June 21, 2023 and September...
Rate Dispersion In more liquid and transparent markets, bids and offers typically hover tightly around a market midpoint. There’s usually common agreement, with slight variations, to what the “fair” price is for a given asset. When there is more dispersion amongst quoted prices, it suggests...
The rate will be updated every month instead of every three months as is the case for the 3-month SIBOR-based home loan.The first applicable 3-month Compounded SORA rate will be the one published by MAS on the date that the bank disburses the loan, and will apply for a period of one...
By contrast, SOFR is a fully transaction-based rate, making it less susceptible to market manipulation and more appealing to regulators. Furthermore, SOFR is an overnight rate, whereas LIBOR is more forward-looking with terms that range from overnight to twelve months. Real Estate Technical Inte...
FuturesusedinseriesofmonetarypolicysurprisesFigure1:InterestrateexposureofEurodollar(ED)andSOFRfutures. theyincorporatedmarketparticipants’expectationsofthefuturepathofinterestratesinthethreemonthsaftersettlement.Forexample,inFigure 1,amarketparticipanttrad -ingondatetandseekinginterestrateexposureinquarterq+1,would...
IFLR's latest primer looks in depth at the most likely long-term replacement for the Libor benchmark interest rate
The secured overnight financing rate is now the predominant benchmark across large swathes of US interest-rate derivatives markets, according to traders and market data, as the shift away from US dollar Libor has accelerated in recent months. ...
Griffin Funding offers 6 month SOFR loans for those in search of an adjustable rate mortgage. Read this to learn more about what 6 month SOFR loans are.