Graduation Year


Date of Submission


Document Type

Open Access Senior Thesis

Degree Name

Bachelor of Arts



Reader 1

Prof. Fan Yu

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© 2022 Michael A Murphy


Since 2011, the London Interbank Offer Rate (LIBOR) has been on the way out for practitioners and researchers alike due to its manipulation in key bank quotes during the Great Financial Crisis (GFC). This paper intends to examine key rates being introduced as LIBOR substitutes, such as SOFR, BSBY, and Ameribor. Specific to its concern, the paper will back test these rates during times of illiquidity in both their respective markets and the broader financial markets to determine which rates will be able to sustain an abnormal drop in transaction volumes. Furthermore, this paper will try to determine whether a dual benchmark solution is possible in the US Fixed Income markets. Within this paper, tests have specific success in showing a change in relationship during negative volume shocks in underlying volumes for both SOFR and BSBY, but have little success in pairing two rates in a dual benchmark fashion. Further studies that can build off of work in this paper may include volume shocks on other Alternative Reference Rates and other ARRs that may be paired in a dual benchmark solution going forward.