Can SOFR be more than just LIBOR 2.0?

  • IBORs are available over different tenors (i.e., they have a term structure), whereas risk-free rates (RFRs) are overnight rates
  • IBORs incorporate a credit risk premium and other premia as well
  • IBORs are unsecured rates, whereas the SOFR is a secured, nearly-risk-free rate
  • The SOFR is produced in a transparent manner and is based on observable transactions, unlike LIBOR that depends on judgment and models
  • Tri-party Treasury general collateral (GC) repo transactions cleared and settled by Bank of New York Mellon (BNYM), excluding repo transactions made through the Fixed Income Clearing Corporation (FICC) General Collateral Financing (GCF) repo market
  • Tri-party Treasury GC repo transactions made through the FICC GCF repo market
  • Bilateral Treasury repo transactions cleared through the FICC Delivery-versus-Payment (DVP) service



Get the Medium app

A button that says 'Download on the App Store', and if clicked it will lead you to the iOS App store
A button that says 'Get it on, Google Play', and if clicked it will lead you to the Google Play store
Acuity Knowledge Partners

Acuity Knowledge Partners


We write about financial industry trends, the impact of regulatory changes and opinions on industry inflection points.