Jun-19 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 Swap Trading-to-date

SOFR-based OIS trading grew dramatically in the second quarter of 2019 and both notional and trade count continue to grow for OIS and Basis 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

SOFR futures trading volume slowed somewhat in the second quarter of the year but OI continues its upward trend. For more details, check out the latest SOFR futures recap from the CME.

CME Futures Volume Chart
CME Futures Volume Chart

SOFR-based Debt Issuances-to-date

SOFR-based debt issuances had a blockbuster month in June ($36 billion) and the tenors continue to lengthen. Overall, $148 billion of SOFR-based debt has been issued to-date by 27 institutions.

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

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.