Sofr trading at 3% of US mart as transition looms

By Ross Lancaster
29 Jul 2020

Just 3% of dollar interest rate risk was executed with Sofr trades in June, and the Japanese Libor transition has also been sluggish, according to data released this week.

Global rates markets are due to move away from referencing Libor at the end of next year. This week, derivatives clearing houses switched from Eonia to €STR, the replacement European overnight borrowing rate. Initiatives and conference calls addressing the move are increasing as urgency builds in the market.


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