The transition away from Libor has been relatively smooth. Six months on from Libor cessation, cash and derivatives markets have adapted quickly to the new multi-rate world. In the US, where selected USD Libor tenors will remain until mid-2023, SOFR is firmly established as the preferred alternative for derivatives.
However, one area of the market remains resistant to change. Non-linear derivatives – such as options, caps and floors – are poorly suited to backward-looking benchmarks such as SOFR, and market participants face difficult questions around product structure, volatility, valuation, pricing, liquidity and hedging.
This leaders’ panel explore:
Speakers:
Ping Sun
Ralph Axel , Director and U.S. Rates Strategist, BofA Global Research
Moderated by: Helen Bartholomew