![Risk.net](https://www.risk.net/sites/default/files/styles/print_logo/public/2018-09/print-logo.png?itok=1TpHrpuP)
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 Amit Deshpande](/sites/default/files/styles/landscape_750_463/public/2019-09/Amit-Deshpande-and-T-Rowe-Price.jpg.webp?itok=5YNgxDPV)
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
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 print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Investing
Can history resolve factor investors’ p-hacking questions?
Quants seek reassurance in the far distant past
Investors choose safer bank bonds as AT1 opportunity wanes
Technical factors mean senior bank bonds now offer relative value
Sliced and sliced again: investors’ latest trick for risk transfer
‘Retranched’ synthetic securitisations offer higher yields, but questions remain over legality of structures
After the selloff, competing theories on dealer gamma
Tier1 Alpha sees $74 billion short gamma catalyst; SG says rapid return to positive territory had calming effect
Corporate ‘greenium’ reveals effect of ESG rules on returns
Analysis of sustainable products shows how SFDR has caused a shift in investor behaviour, writes economist
Insurance double-hatters like Apollo can expect more scrutiny
Regulators are homing in on conflicts of interests at private-equity-owned insurers
Long shadow of Apollo looms over turmoil at Athora
Risk.net investigation reveals troubling picture of US asset manager’s European insurance project
NAIC proposes asset tests for offshore reinsurance
Cashflow assumptions that prove too aggressive could lead to follow-up action – Minnesota supervisor