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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe You are currently unable to print this content. Please contact [email protected] to find out more. You are currently unable to copy this content. Please contact [email protected] to find out more.
On 3 June, the NY Fed reportedly set SOFR for 31 May by conducting a market survey of dealers instead of the usual process using tri-party repo data. A week later, no explanation has been provided, according to Risk.net, which cited conversations with six sources.