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

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 explores:

  • 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

 

Speakers:

Ping Sun, SVP of Financial Engineering, Numerix


 

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


 

Moderated by: Helen Bartholomew, Editor-at-large, Emea, Risk.net



 

 

If you experience any difficulties viewing or completing this form, please contact us for help.

Want More From Numerix? Subscribe to our mailing list to stay current on what we're doing and thinking

Want More from Numerix?

Subscribe to our mailing list to stay current on what we're doing and thinking at Numerix

Subscribe Today!