A mystery: why did the NY Fed use a survey to get SOFR?
Almost a week later, still no word on why SOFR was set using a market survey instead of submissions
On Monday, June 3 the Federal Reserve Bank of New York set the secured overnight financing rate for May 31 at 2.49% – 9 basis points above the previous day’s rate. But the real quirk was how they got it: a market survey of dealers, one of the things SOFR was created to avoid.
Six sources Risk.net spoke to had “no clue” as to why the US dollar Libor replacement rate had to be constructed via a market survey that day instead of using the usual submission process; they were not even aware there
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 print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Markets
Full amount trading picks up as dealers improve pricing
As much as 70% of volumes at some FX venues are now traded as full amounts rather than in slices
FX algo users change tack to navigate market doldrums
BestX data finds traders ditching TWAP in favour of more opportunistic execution styles
Marex plots interest rate clearing push
UK broker is live on LCH and plans to be a “day one” clearing member on FMX
Dealers bruised by surprise renminbi vol surge
Rush to re-hedge USD/CNH exotics left banks in grip of painful short gamma squeeze
HSBC loses FX forwards market share with EU funds
Counterparty Radar: UK bank reported 6% drop in notional volumes with Ucits funds in H2 last year
After the selloff, competing theories on dealer gamma
Tier1 Alpha sees $74 billion short gamma catalyst; SG says rapid return to positive territory had calming effect
Bitcoin ETFs drive demand for borrowing in crypto markets
Mismatch between cash and crypto settlement cycles creates pre-funding challenge
New fee plans for FXGO rile dealers
Bloomberg plans to charge spot FX market-makers from next year