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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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