Nov-18 SOFR Market Adoption

As part of our ongoing efforts to help you monitor the potential replacement of LIBOR and/or OIS by newly designated alternative reference rates (ARR), we have summarized the latest market activity for the ARR for USD LIBOR, SOFR. Further details about these market changes are available in our LIBOR Replacement Watchlist.

You can also download this market summary.

SOFR Debt Issuances-to-date

SOFR debt issuances continue to increase and evolve. The maturities are beginning to extend and callable/puttable bonds have been issued. Expect the list of issuers to expand in coming months as more players gain comfort with SOFR.

Total cash issuance is now over $26B.

SOFR Debt Issuances Table
SOFR Debt Issuances-to-date. Sources: CME, Bloomberg

SOFR Swap Trading-to-date

Over the course of November, ISDA's analysis shows the total notional of SOFR OIS swaps exceeded SOFR basis swap notionals while there were actually more SOFR basis swaps traded than there were SOFR OIS swaps. See ISDA Analysis for more details.

ISDA Analysis on SOFR Swaps Table - Traded Notional ISDA Analysis on SOFR Swaps Table - Trade Count
ISDA Analysis on SOFR Swaps. (For trades reported to DTCC and Bloomberg SDRs which are required to be disclosed under US regulatory guidelines.)

SOFR Futures Trading-to-date

3M SOFR futures now extend out to March 2021 and trading has surpassed 800K contracts. For more details, check out the latest SOFR futures recap from the CME.

CME Futures Volume Chart
CME Futures Volume Chart

About Principia Partners

Principia Partners LLC provides solutions for derivative and fixed income operations. Global financial institutions and independent asset managers have used the award-winning Principia Analytic System since 1995 to unify valuations, portfolio management, risk surveillance, hedge accounting and operational control across the breadth of fixed income and derivative products. In 2015, Principia launched its Analytic Service, pasVal, to make its award-winning pricing and analytics available to an even broader range of businesses.