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Cbonds begins publishing SOFR rates

August 22, 2018 | Cbonds

Dear Cbonds users,
We are glad to inform you that we have begun publishing the first near-risk free rate, i.e. SOFR, on a daily basis.

The SOFR (Secured Overnight Financing Rate) is a near-risk free reference rate that constitutes a weighted average cost of overnight loans secured by American State securities.The archives of benchmark indices contain figures for the period from August 22, 2014 to the present day. The data are provided by the Federal Reserve Bank of New York (https://www.newyorkfed.org). An article in our glossary (http://cbonds.com/glossary/sofr) covers the SOFR rate.

 

Near-Risk Free Rates (RFRs) are overnight benchmark rates tied to the money market and based on actual transactions. More information on the near-risk free rates is available in the article in the glossary: http://cbonds.com/glossary/near-risk-free-rates

 

The importance of near-risk free rates stems from the imperfection of the most common benchmarks on the global market, i.e. IBOR interbank rates (LIBOR, EURIBOR, etc.). The indices of these benchmarks are based mainly on expert evaluations, which makes them highly subjective and significantly limits the forecasting horizon. The near-risk free rates, in their turn, are calculated on the basis of objective data on actual transactions, thus eliminating system risks arising upon the use of the IBOR benchmarks.

 

According to expert estimates, the global financial market will be able to completely switch over to the new benchmarks not earlier than in 2021. However, near-risk free rates derivative financial instruments (e.g., 1M and 3M SOFR futures on the CME Group marketplace) and bonds tied thereto (e.g.,Fannie Mae, FRN 30jan2019, USD, http://cbonds.com/emissions/issue/448809) already exist.

 

Please, note that access to the website (http://cbonds.com/) is included in the Cbonds-Premium tariff. If you still do not have the access to the Cbonds website, you can take advantage of all the opportunities and appreciate the benefits of the website by submitting a trial access request (http://cbonds.com/about/paccess.php).


Company: Cbonds Group

Full company nameCbonds Ltd
Country of riskRussia
IndustryInformation and High Technologies

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