In this third trade note of his ongoing Strategy Series, Thomas Browne provides a useful comparison of SOFR vs LIBOR as underlying indices, and background on the upcoming transition.
The paper highlights the benefits of the overnight index and its suitability for standardization in futures.
Finally, Browne offers an overview of the new Eris SOFR Swap Futures, and guidance on how to transition out of existing LIBOR exposure into SOFR ahead of the forced fallback using the new contracts.
Read the white paper here
