This paper is derived from a Risk.net webinar sponsored by Numerix, where an industry panel discussed how liquidity has developed in SOFR-linked non-linear products. They discussed what structural adaptations have taken place in the transition and the impact on behaviors of the instruments; the challenges of valuing SOFR-linked products; as well as the potential for a relaxation of the restrictions in the use of the SOFR term in derivatives. Three themes have emerged from the discussion.
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