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I am reading about USD LIBOR transition to SOFR (Secured Overnight Financing Rate). Here, I was reading about key differencies between both rates. I would like to bettter understand relationship between SOFR and US Treasuries.

For the LIBOR, there is e.g TED Spread (3-month LIBOR minus 3-month T-bill) that is indicator of perceived credit risk in the economy. I can easily find information about TED spread increase/decrease and how it can be interpreted.

Is there anything similar for SOFR?

In particular, I am interested in the negative spreads and its implication. For the LIBOR TED it is very rare. However, on the average SOFR should be lower then LIBOR, so it means that this should be more common with the SOFR rate.

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This has been asked before.

I do not think there is any implication from a negative spread (certainly not from the perspective of it being an indicator of perceived credit risk or not).

Edit: There is a number of companies who seek to develop and offer a credit sensitive benchmark.

Why this is needed (or there is a demand for such indices) becomes clear when looking at March 2020. Flight to quality and FED liquidity pushed SOFR down, but credit concerns in banking pushed up 3m Libor.

Edit BSBY will be discontinued on November 15,2024 after a damning Iosco verdict, see Risk.net.

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