Goldman, JPM kick off SOFR swaptions

US dealers spearhead non-linear trading but patchy liquidity weighs on vol market ambitions

Goldman Sachs is leading the charge in swaptions linked to SOFR montage

The first swaptions linked to the new US risk-free rate, SOFR, have traded in size, with two block trades between Goldman Sachs and an end-user client hitting swap data repositories earlier this month.

The arrival of non-linear instruments is a key milestone in transition from US dollar Libor, yet hopes for a robust volatility market linked to SOFR – the secured overnight financing rate – may be some way off, with few dealers currently quoting the instruments and patchy liquidity in underlying

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