Volume-starved SOFR leaves quant hankering for data

At T. Rowe Price, a top quant is tired of SOFR being “yanked around by the liquidity premium”

Amit Deshpande
T. Rowe Price's Amit Deshpande

Pity the quant waiting for SOFR to build some volume.

The secured overnight financing rate, the replacement for US dollar Libor, has gained ample acceptance as an index. In derivatives, however, it is no more than a piddling presence.

“There isn’t a lot you can do quantitatively, to be honest with you,” says Amit Deshpande, head of fixed-income quant investments and research at T. Rowe Price in Baltimore. “We are eagerly waiting for the market to mature further, and until such a time

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

Register

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