Libor-SOFR blowout raises questions for fallback rate

Implied three-month SOFR v Libor basis gapped to 108bp on March 19

The yawning gulf that’s sprung open between secured and unsecured funding rates in recent days has wrenched the planned Libor fallback rate far out of sync with the disgraced benchmark it would replace.

The mooted fallback rate for dollar Libor contracts has two components: the realised three-month SOFR rate and the five-year median of the realised three-month Libor/SOFR spread. This historical median is calculated for the five years ending the day three months before the benchmark ceases, so

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 copy this content. Please contact info@risk.net 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 Risk.net? View our subscription options

Most read articles loading...

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