Goldman, JPM kick off SOFR swaptions

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

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Goldman Sachs is leading the charge in swaptions linked to SOFR
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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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