Source: https://www.linkedin.com/feed/update/urn%3Ali%3Ashare%3A6773404676944654336
#InterBank #Lending #Rates: #Metrics & #Data: #LIBOR Going #SOFOR:
FutureOfFinance.org: #BeyondPrediction to #AnticipationOfSurprise:
Secured Overnight Funding Rate (SOFR) is expected to replace London Inter-Bank Offered Rate (LIBOR) in a variety of financial products as benchmark reference rates. SOFR is calculated as a volume-weighted median of transaction-level U.S. Treasury repurchase agreements data, reflecting borrowing cost in overnight borrowing collateralized by U.S. Treasury securities.
There are three major differences between SOFR and USD LIBOR.
1. SOFR is based on observable transactions in the largest rates market in the world at a given maturity based on #observable #transactions rather than #estimates.
2. SOFR is an overnight rate and USD LIBOR includes seven tenors of forward-looking term rates.
3. SOFR is nearly risk free as an overnight secured rate collateralized with U.S. Treasury bonds, while LIBOR is credit sensitive and embeds a bank credit risk premium.
More on SOFR vs LIBOR: https://lnkd.in/esH7ewi : Latest: https://lnkd.in/edWt7XX :
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