US swaptions slowly ditch Libor as ‘SOFR First’ bites

Risk USA: Around half of interdealer trades adopt successor rate on day one of initiative

an arrow going in a different direction to others

An attempt to steer non-linear derivatives towards the secured overnight financing rate, or SOFR, has yet to deliver a widespread switch to the Federal Reserve’s preferred Libor successor, with around half of inter-dealer trades still referencing the legacy benchmark following an expansion of the ‘SOFR First’ initiative to swaptions and other complex derivatives.

Guillaume Helie, head of US rates structuring and solutions at Goldman Sachs, said SOFR take-up in the non-linear market was “a bit

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