Sponsored by ?

This article was paid for by a contributing third party.More Information.

The final stretch: outstanding issues in non-linear RFR derivatives

The panel

  • Ping Sun, Senior vice-president, financial engineering, Numerix
  • Ralph Axel, Director and US rates strategist, Bank of America Global Research
  • Matthew Franklin-Lyons, Managing director, JP Morgan Chase
  • Moderated by: Helen Bartholomew, Editor-at-large, Emea, Risk.net

Six months on from Libor’s cessation, cash and derivatives markets have adapted quickly to the new multi-rate world. In the US, where selected US dollar Libor tenors will remain in place until mid-2023, the secured overnight financing rate (SOFR) is firmly established as the preferred alternative for derivatives.

However, one area of the market remains resistant to change: non-linear derivatives – such as options, caps and floors – are poorly suited to backward-looking benchmarks such as SOFR, and market participants face difficult questions around product structure, volatility, valuation, pricing, liquidity and hedging.

Key topics discussed:

  • How the market is adapting to SOFR swaptions
  • The products best suited to SOFR
  • Lessons from the latest deals and developments
  • The current state of the market: volumes and liquidity in risk-free rate options, caps and floors, and other complex products
  • Valuation and pricing hurdles associated with in-arrears rates
  • Challenges and developments in modelling volatility in SOFR and overnight rates.
  • LinkedIn  
  • Save this article
  • Print this page  

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: