Lagging futures market holding back swaptions RFR transition

“Elephant in the room” is hindering non-linear growth and swap market liquidity, say rates traders


The futures market’s dawdling on Libor transition is impeding adoption of risk-free rates in the swaptions market and creating barriers to the development of swap markets linked to the new benchmarks, according to senior interest rate traders.                                

Tom Prickett, co-head of rates trading for Europe, the Middle East and Africa at JP Morgan, called the limited development in the futures market the “elephant in the room” when it comes to transitioning from Libor, noting

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