Sofr has overcome early resistance to become the dominant index for new trading and lending transactions, including structured products.

However, replacing USD Libor with Sofr does not amend or modify a contract while concerns remain on ‘diverging protocols’. In the last of a three-part article, we look at potential upcoming liquidity issues to hedge derivatives, issues with the transition for some payoff types and legacy notes. Because the ‘official sector’ discourages term Sofr except where Sofr in arrears has proven difficult, new US jurisdiction structured notes reference Sofr in arrears. Howev

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