US swaptions slowly ditch Libor as ‘SOFR First’ bites
Risk USA: Around half of interdealer trades adopt successor rate on day one of initiative
An attempt to steer non-linear derivatives towards the secured overnight financing rate, or SOFR, has yet to deliver a widespread switch to the Federal Reserve’s preferred Libor successor, with around half of inter-dealer trades still referencing the legacy benchmark following an expansion of the ‘SOFR First’ initiative to swaptions and other complex derivatives.
Guillaume Helie, head of US rates structuring and solutions at Goldman Sachs, said SOFR take-up in the non-linear market was “a bit
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Markets
FXSpotStream looks to growth products beyond spot
New chief exec Jeff Ward highlights NDFs and FX swaps as next boom area for the venue
BNP Paribas targets hedge funds with equity vol carry options
Bank aims to meet demand for QIS options extending beyond commodities
Canada’s triparty repo launch aims to fill C$60bn void
Test trades on TMX/Clearstream platform represent “quantum leap” for creaking funding markets
SG trader dismissals shine spotlight on intraday limit controls
Risk experts say many banks rely on daily reports and can’t effectively monitor intraday limits in real time
Hedge funds’ pricing often trumps other buy-siders – SNB
Research shows “advantageous” prices result in outperformance of 139bp trading USD/CHF
Softer FX rules for China QFIs set to boost CNY competition
Freedom to circumvent local custodians a plus for pricing and best execution – State Street
Allianz Life drops single-name CDS positions in Q4
Counterparty Radar: US life insurance industry volumes sink to lowest level in two years
Sustainable bond markets miss an options trick
A derivatives mindset could boost lagging sustainability-linked market, argues climate think-tank
Most read
- Podcast: Olivier Daviaud on P&L attribution for options
- SG trader dismissals shine spotlight on intraday limit controls
- Too soon to say good riddance to banks’ public enemy number one