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”
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, fundamental
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