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-to-date. Sources: CME, Bloomberg
| CUSIP | Issuer | Amount Issued (Millions) | Issue Date | Tenor (months) | Spread (bps) | Frequency |
|---|---|---|---|---|---|---|
| 3136G4TH6 | Federal National Mortgage Association | 15 | 30-Jul-2018 | 18 | 16 | Qtrly |
| 3136G4TG8 | Federal National Mortgage Association | 20 | 30-Jul-2018 | 12 | 12 | Qtrly |
| 459058GK3 | International Bank for Reconstruction & Development | 10 | 21-Aug-2018 | 24 | 22 | Qtrly |
| 59217GCQ0 | Metropolitan Life Global Funding I | 10 | 07-Sep-2018 | 24 | 57 | Qtrly |
| 59217HBT3 | Metropolitan Life Global Funding I | 10 | 07-Sep-2018 | 24 | 57 | Qtrly |
| 94989RW79 | Wells Fargo Bank NA | 1.25 | 21-Sep-2018 | 12 | 35 | Monthly |
| 94988J5S2 | Wells Fargo Bank NA | 10 | 25-Sep-2018 | 18 | 48 | Qtrly |
| 22549LVE2 | Credit Suisse AG/New York NY | 7.85 | 05-Oct-2018 | 6 | 27 | Monthly |
| 22549LLZ6 | Credit Suisse AG/New York NY | 2.71 | 05-Oct-2018 | 12 | 38 | Monthly |
| 48125LRR5 | JPMorgan Chase Bank NA | 8 | 19-Oct-2018 | 24 | 55 | Qtrly |
| 3135G0U76 | Federal National Mortgage Association | 15 | 30-Oct-2018 | 18 | 10 | Qtrly |
| 3135G0U68 | Federal National Mortgage Association | 15 | 30-Oct-2018 | 12 | 7 | Qtrly |
| 3135G0U50 | Federal National Mortgage Association | 20 | 30-Oct-2018 | 6 | 4 | Qtrly |
| AV1597203 | Landeskreditbank Baden-Wuerttemberg Foerderbank | 0.17 | 31-Oct-2018 | 12 | 27 | Qtrly |
| 22549LRN7 | Credit Suisse AG/New York NY | 5.75 | 01-Nov-2018 | 6 | 43 | Monthly |
| 22549LRJ6 | Credit Suisse AG/New York NY | 1 | 02-Nov-2018 | 6 | 43 | Monthly |
| 3134GSE68 | Federal Home Loan Mortgage Corp | 10 | 08-Nov-2018 | 6 | 2.5 | Qtrly |
| 06370RNX3 | Bank of Montreal/Chicago IL | 6 | 09-Nov-2018 | 6 | 44 | Monthly |
| 3130AFFW2 | Federal Home Loan Banks | 25 | 15-Nov-2018 | 12 | 6.5 | Qtrly |
| 3130AFFV4 | Federal Home Loan Banks | 15 | 15-Nov-2018 | 6 | 4 | Qtrly |
| 06417G3B2 | Bank of Nova Scotia/Houston | 17 | 19-Nov-2018 | 6 | 43 | Monthly |
| 298785HU3 | European Investment Bank | 10 | 05-Dec-2018 | 35 | 32 | Qtrly |
| 00828EDE6 | African Development Bank | 1.5 | 06-Dec-2018 | 24 | 32 | Qtrly |
| 3130AFK22 | Federal Home Loan Banks | 20.5 | 10-Dec-2018 | 9 | 6 | Qtrly |
| 3130AFK30 | Federal Home Loan Banks | 15.5 | 10-Dec-2018 | 18 | 11 | Qtrly |
| 63873NA76 | Natixis SA/New York NY | 3.5 | 12-Dec-2018 | 6 | 48 | Monthly |
| 3134GSM69 | Federal Home Loan Mortgage Corp | 20 | 19-Dec-2018 | 6 | 3 | Qtrly |
| 3130AFLK1 | Federal Home Loan Banks | 40 | 21-Dec-2018 | 6 | 4 | Qtrly |
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. (For trades reported to DTCC and Bloomberg SDRs which are required to be disclosed under US regulatory guidelines.)
| 31-Aug-18 | 14-Sep-18 | 21-Sep-18 | 28-Sep-18 | 05-Oct-18 | 12-Oct-18 | 19-Oct-18 | 26-Oct-18 | 02-Nov-18 | 09-Nov-18 | 16-Nov-18 | 23-Nov-18 | 30-Nov-18 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SOFR OIS | 0.1 | 0.1 | 0.1 | 0.2 | 0.2 | 0.2 | 0.2 | 0.2 | 1.7 | 1.7 | 1.8 | 3 | 3.6 |
| SOFR Basis Swaps | 1.4 | 1.4 | 1.4 | 1.4 | 1.6 | 1.6 | 1.8 | 1.8 | 2.0 | 2.0 | 2.0 | 2.0 | 2.4 |
| 31-Aug-18 | 14-Sep-18 | 21-Sep-18 | 28-Sep-18 | 05-Oct-18 | 12-Oct-18 | 19-Oct-18 | 26-Oct-18 | 02-Nov-18 | 09-Nov-18 | 16-Nov-18 | 23-Nov-18 | 30-Nov-18 | ||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SOFR OIS | 2.0 | 2.0 | 2.0 | 3.0 | 3.0 | 3.0 | 3.0 | 4.0 | 6.0 | 7.0 | 9.0 | 19.0 | 23.0 | |
| SOFR Basis Swaps | 12.0 | 12.0 | 12.0 | 12.0 | 16.0 | 16.0 | 21.0 | 21.0 | 24.0 | 24.0 | 25.0 | 25.0 | 27.0 |
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
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