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%
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
Market ‘not ready’ for US Treasuries clearing mandate
“Client clearing for Treasuries doesn’t really exist,” says Barclays exec, while DTCC points to gaps in market awareness
Traders pin Sonia derivative woes on UK’s local difficulties
Market participants say BoE forecasts and mini-budget help explain RFR products’ lack of liquidity
BNPP back in dealer top three for FX forwards with mutuals
Deutsche Bank, HSBC hit by cuts at Vanguard and Pimco in Q2
MassMutual exited inflation hedges in Q2
Counterparty Radar: Closure of $1.5 billion book dealt a blow to BNP Paribas’s dealer ranking
SGX’s new FX platform sees increased NDF trading from US firms
Sef exemption opens door to increased US buy-side interest
Why Isda ditched ‘off-cycle’ updates for Simm
Ad hoc updates riled industry, while regulators pushed for predictability in model recalibrations
How Chenavari is adapting to an uncertain macro regime
Talking Heads 2023: Fund chief Loic Fery eyes rebalancing between public and private credit strategies
Bloomberg consults on BSBY cessation
Credit-sensitive Libor replacement faces 12-month run-off after damning Iosco verdict
