First cleared SOFR trades
Last week, on Wednesday 18 July, LCH has announced the first cleared SOFR linked swaps.
According to a Risk article (subscription required), the first trade was a SOFR V EFFR basis swap.
Now the real fun start. Compute all the basis and check how they behave!
According to a Risk article (subscription required), the first trade was a SOFR V EFFR basis swap.
Now the real fun start. Compute all the basis and check how they behave!
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