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Are SOFR Negative Values a Problem?
Time to the end of LIBOR: 2 years, 1 month, 21 days. —————————– LIBOR is the mother of all interest rates. SOFR is emerging as its favorite child, so an effort should be made to understand it in some depth. One concern about SOFR has been how close it is to zero, so that conceivably […]
Are the CME Term SOFR Rates Unbiased Predictors?
Is the CME Term SOFR Rate an Unbiased Predictor? A term or forward value of an interest rate in the ideal world is a perfect predictor of the future value of the rate. For all practical purposes, we focus on differences between the term value and the realized value. For example, the value of a […]