SOFR remains elusive in US dollar collateral agreements

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

Search-for-SOFR-CSAs

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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