Should US repo be priced off of OBFR, SOFR or IOER? (Premium)

We’ve been hearing recently about differing views of US repo benchmarks for pricing that are creating some confusion. Some banks want to price off of IOER, reflecting their opportunities to place cash with the Federal Reserve and earn a return. Buy-side firms tend to want the OBFR. Meanwhile pricing off of SOFR seems like it is around the corner. We analyzed recent data on the options.
This content requires free registration (unlocked content) or a Finadium subscription. Log in or get access today by signing up here.

Related Posts

Previous Post
Basel Committee reports global progress on Basel III but limited NSFR adoption
Next Post
Barclays launches “next generation” trading platform

Related Posts

Fill out this field
Fill out this field
Please enter a valid email address.

Menu
X

Reset password

Create an account