Benchmark surge: the perfect storm
When Euromoney was researching a feature in August on the market’s transition away from Libor, one portfolio manager was keen to impress upon us the importance of the fact that the US replacement rate (Sofr – secured overnight financing rate) is reliant on repo.
“The repo rate is very different from Libor,” he told us. “It solves the issue of having robust underlying market data, but it behaves differently to Libor and the market needs to learn how it behaves.
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