New tools needed for bespoke SOFR trades – Wells Fargo

US bank’s Libor transition head wants ‘simple’ way to calculate compound rates for any given period

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Officials at Wells Fargo are pressing the Federal Reserve Bank of New York to create a tool that would allow market participants to easily calculate backward-looking averages of the secured overnight financing rate (SOFR) for bespoke trades.

The New York Fed is expected to begin publishing a compound average of SOFR – dubbed SAFR, for secured average financing rate – in the first half of 2020. The compounded rate is likely to be available in the most commonly used tenors – 30, 60 and 90 days. 

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