U.S. Libor Replacement, Two Weeks After Debut, Has Some Issues
- New York Fed finds erroneous data in SOFR calculation
- Market confidence key to new benchmark, Jefferies analyst says
So Far, So bad for Libor Replacement SOFR
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Two weeks after its debut, the presumptive heir to Libor in the U.S. is already running into some turbulence.
The Federal Reserve Bank of New York said Monday it had mistakenly included certain repo transactions in the settings for April 2 to April 12 for the new benchmark, which is known as the Secured Overnight Financing Rate, or SOFR. The bank investigated the readings after it received feedback from market participants about higher-than-expected volumes of repurchase-agreement deals underlying the SOFR rate.