Banks Brace for ‘Big Bang’ Switch on $80 Trillion Worth of Swaps
- Portfolios will switch to SOFR benchmark rate this weekend
- ‘Price action could get very disorderly,’ JPM’s Younger says
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It’s being called the “big bang,” and it has derivatives traders on high alert.
In a critical development in the global shift away from old benchmarks that was triggered by Libor’s shortcomings, interest-rate swaps on more than $80 trillion in notional debt will transition this weekend to a new rate for determining their value.