Dealers warm to SOFR swaptions but buy side lags

Rate accounted for nearly half of new notional last week, but operational issues slow end-user uptake


The US secured overnight financing rate, or SOFR, underpinned nearly half of US dollar swaptions trades in the final week of November, according to trade repository data. But while the interdealer market is quickly making the move to the US risk-free rate, technology and data issues have slowed the buy side’s transition.

Data from the Depositary Trust & Clearing Corporation show that $44.3 billion notional of SOFR-linked swaptions was traded in the week beginning November 22, representing 49%

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