SOFR swap basis could pose ‘systemic risk’

Trading curbs must be loosened to prevent tripling of unhedgeable basis risk, says senior banker

Spotlight on SOFR

The ban on interdealer trading of term SOFR derivatives is causing prices to deviate sharply from instruments linked to the compounded-in-arrears version of the rate – an anomaly that, if left unchecked, could pose a systemic risk to swap dealers, a senior market risk manager has warned.

“I think regulators are starting to acknowledge that if there isn’t some means of trading this type of risk in the [interdealer] market, it will start becoming a systemic risk across institutions in terms of

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 or view our subscription options here:

You are currently unable to copy this content. Please contact 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 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 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