Swaptions transition snags trigger term SOFR calls

Liquidity flips to RFR but laggards struggle with behavioural quirks for contracts referencing overnight rates


The US swaptions market has made a decisive shift towards the secured overnight financing rate, or SOFR, though some firms are still struggling to adapt their swaptions activities to an overnight rate, adding further weight behind a call to soften restrictions on a term version of the risk-free rate (RFR).

“On the buy side, a lot of activities are still in the Libor space,” said Ping Sun, senior vice-president of financial engineering at Numerix. “The big difficulty is people are still getting

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 copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options


Want to know what’s included in our free membership? Click here

This address will be used to create your account

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