SOFR remains elusive in US dollar collateral agreements

Derivatives users slow to amend CSAs amid market volatility and looming Libor deadline


Banks are finding little appetite among clients to ditch the fed funds rate from US dollar collateral agreements for non-cleared derivatives, nearly two years after being told to switch interest payments to the secured overnight financing rate, or SOFR.

“The positive responses are there, but we also get a lot of responses from counterparties asking why they should bother,” says a collateral manager at a European bank when asked why SOFR isn’t more widely used in credit support annexes (CSAs).

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