Global Derivatives Cling to Libor Even as Its Finale Nears
- Just 4.7% of U.S. contracts traded in March pegged to SOFR
- Dearth of activity shows how entrenched benchmark remains
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Anyone hoping Libor’s death notice would accelerate the shift of hundreds of trillions of dollars worth of derivatives toward replacement benchmarks will be sorely disappointed.
In the U.S, just 4.7% of contracts traded in March were pegged to the Secured Overnight Financing Rate, or SOFR, the benchmark slated to replace the London interbank offered rate, according to data from the International Swaps and Derivatives Association released Wednesday. That’s down from 5% in February.