Fed funds swaptions offer SOFR alternative
Investors dry-run systems using familiar overnight rate, as markets wait for SOFR liquidity to build
A handful of US dollar swaptions referencing the federal funds rate have traded in recent weeks, as investors look to move away from derivatives with Libor as the underlying rate.
The official alternative to US dollar Libor is the secured overnight financing rate, or SOFR, but liquidity in swaptions linked to SOFR is limited. Market participants say compounded fed funds offers similar rate exposure and allows users to test systems with a familiar overnight rate.
“I’m not sure how long this
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 Derivatives
Chinese snowball revenues melt away
Securities firms see falling revenues in the index-linked trades, but struggle to replace their profitability
Rival TTF futures a threat to liquidity, fear energy traders
Plans by Ice and EEX to dodge EU price cap risk fragmenting the gas market
Ion cyber outage continues as banks rely on workarounds
ABN Amro, Macquarie, RBC among firms hit; ransom deadline tomorrow, but service may be down for days
EBS ventures into crypto market with upcoming NDF
The move could be a big step forward for mainstream adoption of crypto NDF trading
Living with SA-CCR, one year on
Collateral agreements and FX futures may be some of the ways to tackle increased capital costs
Risk Awards 2023: The winners
BNP Paribas takes top derivatives prize, lifetime award for Stephen Kealhofer, Nomura wins rates
It’s not easy being green: why the FX market is lagging on ESG
And what’s being done to fix it
Stick to the fax? Isda seeks to revamp close-out notice methods
Plans to update termination notice provisions still won’t quite pull the plug on use of fax machines
