SOFR, so bad: liquidity lags transition ambitions
Thin current trading may lead to poor fallback choices, and dim SOFR’s appeal ahead of Libor’s death
Sometimes timing is everything. US derivatives dealers are moving inexorably towards a post-Libor world but, some argue, not fast enough, affecting the industry’s preparations for the day the disgraced benchmark ceases to exist.
“We’re ahead of schedule – whether the industry’s plan should have been more aggressive, there are good grounds to make that case,” says the chief risk officer of a buy-side firm.
A number of products linked to the secured overnight financing rate (SOFR), the US dollar
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