The Final Stretch: Outstanding Issues in Non-linear RFR Derivatives

Thursday, June 30, 2022 10:00 AM EDT


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 will explore:

  • How the market is adapting to SOFR swaptions
  • The products best suited to term SOFR
  • Lessons from the latest deals and developments
  • The current state of the market: volumes and liquidity in RFR options, caps and floors, and other complex products
  • Valuation and pricing hurdles associated with in-arrears rates
  • Challenges and developments in modelling volatility in SOFR and overnight rates

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Ping Sun, SVP of Financial Engineering, Numerix



Ralph Axel , Director and U.S. Rates Strategist, BofA Global Research


Matthew Franklin-Lyons, Managing Director, JP Morgan Chase


Moderated by: Helen Bartholomew, Editor-at-large, Emea,