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Shining the spotlight on SOFR

The panel

  • Subadra Rajappa, Managing director and head of US rates strategy, Societe Generale
  • David Horner, Head of risk for rates services, LCH
  • Jason Granet, Head of firm-wide Libor transition, Goldman Sachs
  • Gary Horbacz, Principal, Fixed-income structured products, Prudential
  • Moderator: Duncan Wood, Global editorial director, Risk.net

The US has chosen a brand-new rate as its Libor replacement – the secured overnight financing rate (SOFR) – and liquidity is building slowly.

SOFR swaps could get a boost when clearing houses start using the new rate in discounting, but it’s a step that comes with its own dangers.

For other products, the US has forged ahead in drawing up Libor fallbacks, creating some potential clashes.

Key topics discussed:

  • SOFR adoption and liquidity
  • Whether the market will be viable by end-2021
  • SOFR discounting for cleared swaps
  • Fallbacks work and cross-product harmonisation.
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