Rival SOFR conventions splinter loan market

Diverging approaches to calculating interest payments sow uncertainty and hedging concerns

Nature, as Aristotle observed, abhors a vacuum. So, it seems, do fixed income markets.

In the absence of an official forward-looking term version of SOFR, the secured overnight financing rate, various segments of the market have developed their own conventions for calculating interest payments based on US dollar Libor’s chosen successor.

“You can’t pin a multi-trillion dollar business on the hope that there will be a forward-looking term SOFR,” says Meredith Coffey, executive vice-president of

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 [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact [email protected] to find out more.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here: