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

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.