Sep-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 through Q3 2019

In the third quarter, SOFR basis swaps began to increase at a similar rate to 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 through Q3 2019

Another big uptick in volume and OI occurred at the end of the third quarter. 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

Following on from a remarkable increase in June, the beginning of the third quarter showed remarkable increases as well. Overall, 38 institutions have issued $298 billion notional in floating rate instruments tied to SOFR, including over $130 billion in Q3 2019.

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.