30-day Average SOFR is a benchmark interest rate based on SOFR. The SOFR 30-day Average rate is calculated as the average of the SOFR rates observed over a 30 calendar day period. It is used as a benchmark for various financial instruments, including student loans. ...
SOFR and Treasury option trade remained mixed Wednesday, repositioning after underlying futures broke narrow overnight range earlier. Projected rate cut pricing regained some traction: May 2024 at -15.0bp from -13.9% this morning w/ cumulative -3.7bp at 5.291%; June 2024 -63.1% w/ cumulative ra...
Rates continue to extend highs post ISM/UofM data, early comments from Barkin, Goolsbee and Waller doing little to dissuade rise in projected mid-year cut pricing in the last few minutes: March 2024 chance of 25bp rate cut currently -2.3% w/ cumulative o
The transition away from Libor got a major boost in late July after the ARRC announced the recommendation of CME Group’s forward-looking Secured Overnight Financing Rate (SOFR) term rates, following the completion of a key change in…
LIBOR will cease June 30, 2023, and overnight SOFR is the favored replacement reference rate. Term SOFR was established to address the need for a forward-looking interest-rate replacement. The Ameribor and Bloomberg Short-Term Bank Yield (BSBY) are additional options to replace LIBOR. ...
In fact, the last time that more Fed Funds risk traded in OIS markets than SOFR was way back in July 2021! Why are we looking at Fed Funds risk AGAIN then? Because Fed Funds counts as a “legacy rate” in theRFR Adoption Indicator. Increases in Fed Funds risk therefore increases the ...
Key Points • With the US Alternative Reference Rate Committee's ('ARCC')1 endorsement and increasing market adoption, the Term Secured Overnight Financing Rate ('Term SOFR') has become a viable reference rate for USD denominated debt facilities, and can be suitable for market participants ...
Bank of America Corporation (“BAC”) (NYSE: BAC), BofA Finance LLC (“BofA Finance”) and certain other BAC-affiliated issuers have issued and outstanding certain floating or fixed-to-floating rate debt securities, preferred stock represented by deposit
Using the forward-looking Secured Overnight Financing Rate (SOFR), we find that SOFR provides more price discovery than the London Interbank Offered Rate (LIBOR). In the context of incorporating information about monetary policy into market rates, our results support the Alternative Reference Rates ...
Regulators set Monday 26 July as “SOFR First” for interbank markets. The Commodity Futures Trading Commission’s Market Risk Advisory Committee said SOFR First represents a prioritization of trading in SOFR, the Secured Overnight Financing Rate, rather than US dollar Libor. Regulators want market ...