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

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:

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 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: