SOFR is a 'secured rate' while the latter is not. Therefore, I would assume a 1y SOFR swap to trade at a lower par rate than a 1y fed funds overnight index swap.
Any insights would be greatly appreciated.
Thanks.
Asked
Viewed
179 times
2
$\begingroup$
$\endgroup$
-
$\begingroup$ I agree with the expectation but these markets completely depend on the precise mechanics of who can trade what and how each is calculated based on the participants and the relative differences in the products. See my answer to this similar question..quant.stackexchange.com/questions/40926/… $\endgroup$ – Attack68♦ Jul 26 '18 at 17:47
