SOFR published

The first value of the Secured Overnight Financing Rate (SOFR) benchmark has been published today by the New York Fed. The page for the rate is: https://apps.newyorkfed.org/markets/autorates/sofr

A new benchmark that is expected to play a role in the Games of Benchmarks.

The first value of the benchmark, for overnight rates between Tuesday 2 April and Wednesday 3 April, has been fixed at 1.80%. For the same period, the Fed Fund Effective rate has been fixed at 1.68%.

This means that the secured rate is 12 basis points above the unsecured rate!

Note that like for some other overnight rates,  the new benchmark is based on rates for trade on the start of the overnight period but only published the next day. It is difficult to understand why, in this era of real time and supercomputers, it takes so long for the publication of the rate. Even LIBOR that is probably not a paragon of virtue was published as soon as computed, around 11:00 a.m. London time. Note that SONIA, when it will be moved to its reformed version on 23 April 2018, will also be only published on a next day basis. Personally I would prefer an immediate publication. But it seems that timely publication is not a requirement for benchmarks.

Comments

Post a Comment

Popular posts from this blog

Multi-curve framework book: new edition in progress

Image
Subject: Interest Rate Modelling in the Multi-curve Framework: Foundations, Evolution, and Implementation It has been more than 10 years since I wrote the first edition of the multi-curve framework book. What happened in those 10 years? Why did it take me so long to start a new version? It took me roughly 10 years to write the first edition. The reason it took so long at that time, was that I did not know that I was writing it! I thought I was writing a couple of pages on an obscured and theoretical idea that there was not a `` one curve to rule them all '' but multiple curves. It turned out that it became the actual practice for very clear and important reasons. That was the excuse for the first edition, what is the excuse for the second edition? Since the first edition, many things happen, in particular: March 2015: BCBS - IOSCO: margin requirements for non-centrally cleared derivatives and mandatory variation margin July 2017: The future of LIBOR -- actually it
Read more

Rigged: part 1 - Will there be a part 2?

Image
I have been reading book “Rigged: The Incredible True Story of the Whistleblowers Jailed after Exposing the Rotten Heart of the Financial” (Andy Verity, Flint, June 2023) for some time. It was published several month ago, but I just finished it. To my defence, I have to say that I don’t feel comfortable reading fiction where the “bad guys” are systematically winning by cheating. The book is the story of the miscarriage of justice done in the LIBOR manipulation story. The book content did not surprise me. For anybody having worked on a (swap) trading desk, it is clear that what was described by the accusation was impossible. It is not possible for some middle level trader to create a multi-year, multi-desk, multi-bank international conspiracy over open lines, broker lines, on open offices etc. without all around them, including compliance and senior management to be fully aware of what is going on. Moreover the regulators cannot be ignorant of the situation, except pleading complete in
Read more

Pertes de la BNB: c’était prévu et nous payons!

La BNB: 3 milliards de pertes et encore 6 milliards à venir. Voir par example l’article de l’Echo: La perte de la BNB a dépassé 3 milliards d'euros en 2023 . 1) C’était le but! C’était prévu! 2) Quis custodiet ipsos custodes? 3) Quatrième pouvoir? 1) C’était le but! Les achats d’obligations gouvernementales avaient pour but de diminuer le coût des emprunts pour les États concernés. Il y a bien sur la fiction que ce n’est pas du financement des états parce que les obligations sont achetées dans le marché secondaire aux banques commerciales. Une fiction car les banques commerciales; achètent ces obligations sur le marché primaire à un prix surévalué uniquement parce qu’elles savent qu’elles peuvent les revendre à un prix encore plus surévalué aux banques centrales. C’est d’une certaine façon un “pump and dump”. Si ce n’est que dans le “pump” le seul pompage est par les banque centrales et le reste sait que ce pump n’intervient que pour soutenir un actif de moindre qualité. Et
Read more