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.
| 31-Aug-2018 | 14-Sep-2018 | 21-Sep-2018 | 28-Sep-2018 | 05-Oct-2018 | 12-Oct-2018 | 19-Oct-2018 | 26-Oct-2018 | 02-Nov-2018 | 09-Nov-2018 | 16-Nov-2018 | 23-Nov-2018 | 30-Nov-2018 | 07-Dec-2018 | 14-Dec-2018 | 21-Dec-2018 | 28-Dec-2018 | 04-Jan-2019 | 11-Jan-2019 | 18-Jan-2019 | 25-Jan-2019 | 01-Feb-2019 | 08-Feb-2019 | 15-Feb-2019 | 22-Feb-2019 | 01-Mar-2019 | 08-Mar-2019 | 15-Mar-2019 | 22-Mar-2019 | 29-Mar-2019 | 05-Apr-2019 | 12-Apr-2019 | 19-Apr-2019 | 26-Apr-2019 | 03-May-2019 | 10-May-2019 | 17-May-2019 | 24-May-2019 | 31-May-2019 | 07-Jun-2019 | 14-Jun-2019 | 21-Jun-2019 | 28-Jun-2019 | 05-Jul-2019 | 12-Jul-2019 | 19-Jul-2019 | 26-Jul-2019 | 02-Aug-2019 | 09-Aug-2019 | 16-Aug-2019 | 23-Aug-2019 | 30-Aug-2019 | 06-Sep-2019 | 13-Sep-2019 | 20-Sep-2019 | 27-Sep-2019 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 3.6 | 3.8 | 3.8 | 3.8 | 3.8 | 5.1 | 6.6 | 8.9 | 10.7 | 11.9 | 12.2 | 12.5 | 12.8 | 13 | 13.2 | 22.2 | 23.4 | 24.2 | 35.4 | 37.1 | 37.8 | 45 | 46.1 | 50 | 61.4 | 82.8 | 83.5 | 86.5 | 87.5 | 90.1 | 99.3 | 119.3 | 120.784 | 122.468 | 124.397 | 128.285 | 132.584 | 133.879 | 134.609 | 137.236 | 139.559 | 141.171 | 143.635 |
| 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 | 2.4 | 2.4 | 2.5 | 2.5 | 2.5 | 2.5 | 2.5 | 2.7 | 2.7 | 2.8 | 3.1 | 3.1 | 63 | 64 | 65 | 67 | 70 | 72 | 106 | 113 | 120 | 130 | 141 | 148 | 152 | 161 | 174 | 187 | 198 | 205 | 215 | 230 | 244 | 255 | 268 | 315 | 355 | 379 | 411 | 443 | 459 | 476 | 517 |
| 31-Aug-2018 | 14-Sep-2018 | 21-Sep-2018 | 28-Sep-2018 | 05-Oct-2018 | 12-Oct-2018 | 19-Oct-2018 | 26-Oct-2018 | 02-Nov-2018 | 09-Nov-2018 | 16-Nov-2018 | 23-Nov-2018 | 30-Nov-2018 | 07-Dec-2018 | 14-Dec-2018 | 21-Dec-2018 | 28-Dec-2018 | 04-Jan-2019 | 11-Jan-2019 | 18-Jan-2019 | 25-Jan-2019 | 01-Feb-2019 | 08-Feb-2019 | 15-Feb-2019 | 22-Feb-2019 | 01-Mar-2019 | 08-Mar-2019 | 15-Mar-2019 | 22-Mar-2019 | 29-Mar-2019 | 05-Apr-2019 | 12-Apr-2019 | 19-Apr-2019 | 26-Apr-2019 | 03-May-2019 | 10-May-2019 | 17-May-2019 | 24-May-2019 | 31-May-2019 | 07-Jun-2019 | 14-Jun-2019 | 21-Jun-2019 | 28-Jun-2019 | 05-Jul-2019 | 12-Jul-2019 | 19-Jul-2019 | 26-Jul-2019 | 02-Aug-2019 | 09-Aug-2019 | 16-Aug-2019 | 23-Aug-2019 | 30-Aug-2019 | 06-Sep-2019 | 13-Sep-2019 | 20-Sep-2019 | 27-Sep-2019 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SOFR OIS | 2 | 2 | 2 | 3 | 3 | 3 | 3 | 4 | 6 | 7 | 9 | 19 | 23 | 23 | 24 | 24 | 24 | 24 | 31 | 37 | 45 | 53 | 59 | 61 | 62 | 63 | 64 | 65 | 67 | 70 | 72 | 106 | 113 | 120 | 130 | 141 | 148 | 152 | 161 | 174 | 187 | 198 | 205 | 215 | 230 | 244 | 255 | 268 | 315 | 355 | 379 | 411 | 443 | 459 | 476 | 517 |
| SOFR Basis Swaps | 12 | 12 | 12 | 12 | 16 | 16 | 21 | 21 | 24 | 24 | 25 | 25 | 27 | 27 | 27 | 28 | 28 | 28 | 29 | 29 | 32 | 32 | 33 | 39 | 39 | 40 | 47 | 49 | 49 | 51 | 55 | 60 | 65 | 66 | 72 | 84 | 87 | 87 | 89 | 91 | 95 | 95 | 104 | 105 | 114 | 117 | 130 | 141 | 159 | 169 | 186 | 195 | 223 | 238 | 246 | 263 |
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
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-to-date. Sources: CME, Bloomberg
| CUSIP | ISSUER | Amount Issued (Millions) | Issue Date | Maturity | Tenor (months) | Spread (bps) | Frequency |
|---|---|---|---|---|---|---|
| 3136G4TH6 | Federal National Mortgage Association | 15 | 30-Jul-2018 | 18 | 16 | 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 |
| 94988J5S2 | Wells Fargo Bank NA | 10 | 25-Sep-2018 | 18 | 48 | Qtrly |
| 48125LRR5 | JPMorgan Chase Bank NA | 8 | 19-Oct-2018 | 24 | 55 | Qtrly |
| 3135G0U68 | Federal National Mortgage Association | 15 | 30-Oct-2018 | 12 | 7 | Qtrly |
| 3135G0U76 | Federal National Mortgage Association | 15 | 30-Oct-2018 | 18 | 10 | Qtrly |
| AV1597203 | Landeskreditbank Baden-Wuerttemberg Foerderbank | 0.17 | 31-Oct-2018 | 12 | 27 | Qtrly |
| 3130AFFW2 | Federal Home Loan Banks | 25 | 15-Nov-2018 | 12 | 6.5 | Qtrly |
| 298785HU3 | European Investment Bank | 10 | 05-Dec-2018 | 35 | 32 | Qtrly |
| 00828EDE6 | African Development Bank | 1.5 | 06-Dec-2018 | 24 | 32 | Qtrly |
| 3130AFK30 | Federal Home Loan Banks | 15.5 | 10-Dec-2018 | 18 | 11 | Qtrly |
| 22549LRX5 | Credit Suisse AG/New York NY | 1 | 04-Jan-2019 | 12 | 57 | Monthly |
| 22549LSK2 | Credit Suisse AG/New York NY | 3.25 | 08-Jan-2019 | 12 | 55 | Monthly |
| 59217GCW7 | Metropolitan Life Global Funding I | 2.65 | 15-Jan-2019 | 24 | 85 | Qtrly |
| 59217HBZ9 | Metropolitan Life Global Funding I | 2.65 | 15-Jan-2019 | 24 | 85 | Qtrly |
| 3130AFQY6 | Federal Home Loan Banks | 10 | 17-Jan-2019 | 12 | 5 | Qtrly |
| 3130AFS73 | Federal Home Loan Banks | 15 | 24-Jan-2019 | 18 | 7.5 | Qtrly |
| 3135G0V26 | Federal National Mortgage Association | 20 | 30-Jan-2019 | 18 | 6 | Qtrly |
| 3133EJ6X2 | Federal Farm Credit Banks Funding Corp | 5 | 06-Feb-2019 | 12 | 3 | Qtrly |
| 22549LVB8 | Credit Suisse AG/New York NY | 5.25 | 07-Feb-2019 | 13 | 41 | Monthly |
| 3130AFVU8 | Federal Home Loan Banks | 15 | 13-Feb-2019 | 9 | 1 | Qtrly |
| 48125LRT1 | JPMorgan Chase Bank NA | 2.5 | 19-Feb-2019 | 24 | 61 | Qtrly |
| 3130AFWY9 | Federal Home Loan Banks | 25.5 | 21-Feb-2019 | 12 | 3.5 | Qtrly |
| 3134GS4K8 | Federal Home Loan Mortgage Corp | 10 | 28-Feb-2019 | 12 | 2 | Qtrly |
| 3130AG2E4 | Federal Home Loan Banks | 32.5 | 08-Mar-2019 | 9 | 3 | Qtrly |
| 22549LWP6 | Credit Suisse AG/New York NY | 8.89 | 11-Mar-2019 | 12 | 38 | Monthly |
| 891160RQ8 | Toronto-Dominion Bank/The | 0.5 | 12-Mar-2019 | 24 | 61 | Qtrly |
| 17325FAW8 | Citibank NA | 10 | 13-Mar-2019 | 24 | 60 | Qtrly |
| 63873NN23 | Natixis SA/New York NY | 2.65 | 13-Mar-2019 | 12 | 34 | Monthly |
| AX5234981 | Landeskreditbank Baden-Wuerttemberg Foerderbank | 5 | 15-Mar-2019 | 37 | 35 | Qtrly |
| 3130AG3Q6 | Federal Home Loan Banks | 30 | 15-Mar-2019 | 24 | 11.5 | Qtrly |
| 22549LRY3 | Credit Suisse AG/New York NY | 1 | 15-Mar-2019 | 12 | 35 | n/a |
| 3133EKDM5 | Federal Farm Credit Banks Funding Corp | 5 | 18-Mar-2019 | 24 | 12 | Qtrly |
| 31422BDQ0 | Federal Agricultural Mortgage Corp | 0.8 | 18-Mar-2019 | 12 | 5 | Qtrly |
| 3130AG5G6 | Federal Home Loan Banks | 42.5 | 27-Mar-2019 | 12 | 6.5 | Qtrly |
| 22549LWH4 | Credit Suisse AG/New York NY | 2.93 | 04-Apr-2019 | 13 | 38 | Monthly |
| 3130AGA70 | Federal Home Loan Banks | 15 | 05-Apr-2019 | 18 | 10.5 | Qtrly |
| 3134GTDA8 | Federal Home Loan Mortgage Corp | 5.65 | 05-Apr-2019 | 12 | 5.5 | n/a |
| 3133EKHC3 | Federal Farm Credit Banks Funding Corp | 5 | 15-Apr-2019 | 21 | 10.5 | Qtrly |
| 3133EKHW9 | Federal Farm Credit Banks Funding Corp | 2 | 22-Apr-2019 | 37 | 20 | n/a |
| 3134GTLJ0 | Federal Home Loan Mortgage Corp | 22.5 | 29-Apr-2019 | 12 | 4 | Qtrly |
| 3135G0V67 | Federal National Mortgage Association | 25 | 30-Apr-2019 | 18 | 7.5 | Qtrly |
| 3134GTLX9 | Federal Home Loan Mortgage Corp | 10.25 | 01-May-2019 | 6 | 1 | Qtrly |
| 22549LVL6 | Credit Suisse AG/New York NY | 5.25 | 01-May-2019 | 13 | 37 | Monthly |
| 3134GTLW1 | Federal Home Loan Mortgage Corp | 10 | 01-May-2019 | 9 | 2 | n/a |
| 3134GTLV3 | Federal Home Loan Mortgage Corp | 22.5 | 01-May-2019 | 12 | 4 | Qtrly |
| 78012UPG4 | Royal Bank of Canada/New York NY | 1 | 03-May-2019 | 12 | 23 | n/a |
| 31422BFE5 | Federal Agricultural Mortgage Corp | 0.25 | 03-May-2019 | 12 | 7 | n/a |
| 3130AGEU5 | Federal Home Loan Banks | 20 | 08-May-2019 | 12 | 3.5 | Qtrly |
| 3134GTNF6 | Federal Home Loan Mortgage Corp | 12 | 08-May-2019 | 12 | 3 | Qtrly |
| 06370RZZ5 | Bank of Montreal/Chicago IL | 7.8 | 09-May-2019 | 12 | 23 | n/a |
| 06370RA41 | Bank of Montreal/Chicago IL | 2.4 | 09-May-2019 | 9 | 17 | Qtrly |
| 3133EKKV7 | Federal Farm Credit Banks Funding Corp | 5 | 10-May-2019 | 24 | 10 | n/a |
| 3133EKLP9 | Federal Farm Credit Banks Funding Corp | 1.54 | 16-May-2019 | 37 | 17 | Qtrly |
| 3130AGGX7 | Federal Home Loan Banks | 27.5 | 21-May-2019 | 9 | 2 | Qtrly |
| 3134GTQA4 | Federal Home Loan Mortgage Corp | 10.3 | 21-May-2019 | 9 | 1 | Qtrly |
| 3134GTPW7 | Federal Home Loan Mortgage Corp | 10.5 | 21-May-2019 | 15 | 3 | Qtrly |
| 3134GTPQ0 | Federal Home Loan Mortgage Corp | 10.3 | 22-May-2019 | 12 | 2.5 | Qtrly |
| 3134GTPS6 | Federal Home Loan Mortgage Corp | 1 | 22-May-2019 | 6 | 0 | Qtrly |
| 3814267X7 | Goldman Sachs Bank USA/New York NY | 10 | 24-May-2019 | 24 | 60 | Qtrly |
| 40054PBA2 | Goldman Sachs Bank USA/New York NY | 1.5 | 24-May-2019 | 12 | 28 | Qtrly |
| 59217GCY3 | Metropolitan Life Global Funding I | 12.5 | 28-May-2019 | 24 | 50 | Qtrly |
| 59217HCB1 | Metropolitan Life Global Funding I | 12.5 | 28-May-2019 | 24 | 50 | Qtrly |
| 3130AGKE4 | Federal Home Loan Banks | 15 | 03-Jun-2019 | 15 | 4 | Qtrly |
| 40054PBE4 | Goldman Sachs Bank USA/New York NY | 1.55 | 03-Jun-2019 | 18 | 40 | Qtrly |
| 3134GTSL8 | Federal Home Loan Mortgage Corp | 20.15 | 05-Jun-2019 | 12 | 2 | Qtrly |
| 06370RD22 | Bank of Montreal/Chicago IL | 2.925 | 06-Jun-2019 | 12 | 20 | Qtrly |
| 63873NZ38 | Natixis SA/New York NY | 5 | 06-Jun-2019 | 12 | 30 | Monthly |
| 3134GTSS3 | Federal Home Loan Mortgage Corp | 21 | 06-Jun-2019 | 15 | 3 | Qtrly |
| 3134GTSM6 | Federal Home Loan Mortgage Corp | 20.5 | 06-Jun-2019 | 15 | 3 | Qtrly |
| 891160RU9 | Toronto-Dominion Bank/The | 1.37 | 07-Jun-2019 | 24 | 65 | Qtrly |
| 31422BGM6 | Federal Agricultural Mortgage Corp | 0.5 | 07-Jun-2019 | 24 | 11 | Qtrly |
| 6174468H5 | Morgan Stanley | 7.5 | 10-Jun-2019 | 37 | 83 | Qtrly |
| 3133EKQD1 | Federal Farm Credit Banks Funding Corp | 5 | 10-Jun-2019 | 24 | 8 | Qtrly |
| 78012UPT6 | Royal Bank of Canada/New York NY | 0.5 | 10-Jun-2019 | 12 | 19 | Qtrly |
| 40054PBN4 | Goldman Sachs Bank USA/New York NY | 2 | 10-Jun-2019 | 18 | 40 | Qtrly |
| 40054PBJ3 | Goldman Sachs Bank USA/New York NY | 2 | 10-Jun-2019 | 12 | 25 | Qtrly |
| 3130AGLX1 | Federal Home Loan Banks | 22 | 11-Jun-2019 | 6 | 0 | Qtrly |
| 46849LTJ0 | Jackson National Life Global Funding | 3 | 11-Jun-2019 | 24 | 50 | Qtrly |
| 63873N2B6 | Natixis SA/New York NY | 1 | 11-Jun-2019 | 12 | 26 | Monthly |
| 46849MBG3 | Jackson National Life Global Funding | 3 | 11-Jun-2019 | 24 | 50 | Qtrly |
| 63873N2C4 | Natixis SA/New York NY | 1.25 | 12-Jun-2019 | 18 | 43 | Monthly |
| 40054PBS3 | Goldman Sachs Bank USA/New York NY | 1 | 12-Jun-2019 | 24 | 50 | Qtrly |
| 13606B2E5 | Canadian Imperial Bank of Commerce/New York NY | 2.45 | 13-Jun-2019 | 12 | 21 | Monthly |
| 22549LRM9 | Credit Suisse AG/New York NY | 1.5 | 13-Jun-2019 | 12 | 26 | Monthly |
| 13606B2F2 | Canadian Imperial Bank of Commerce/New York NY | 1.285 | 13-Jun-2019 | 6 | 11 | Monthly |
| 13606B2D7 | Canadian Imperial Bank of Commerce/New York NY | 3.75 | 13-Jun-2019 | 9 | 16 | Monthly |
| 3130AGM85 | Federal Home Loan Banks | 29 | 14-Jun-2019 | 24 | 7.5 | Qtrly |
| 3134GTUZ4 | Federal Home Loan Mortgage Corp | 12.75 | 14-Jun-2019 | 18 | 4 | Qtrly |
| 89117BAH1 | Toronto-Dominion Bank/The | 1 | 14-Jun-2019 | 24 | 61 | Qtrly |
| 3134GTUY7 | Federal Home Loan Mortgage Corp | 10 | 14-Jun-2019 | 24 | 6 | Qtrly |
| 31422BGT1 | Federal Agricultural Mortgage Corp | 0.5 | 17-Jun-2019 | 22 | 10 | Qtrly |
| 3130AGMU6 | Federal Home Loan Banks | 15 | 18-Jun-2019 | 7 | 0.5 | Qtrly |
| 29878TDE1 | European Investment Bank | 15 | 18-Jun-2019 | 36 | 29 | Qtrly |
| 40054PCA1 | Goldman Sachs Bank USA/New York NY | 1 | 18-Jun-2019 | 12 | 25 | Qtrly |
| AZ0961583 | European Investment Bank | 15 | 18-Jun-2019 | 36 | 29 | Qtrly |
| 22549LRR8 | Credit Suisse AG/New York NY | 3.5 | 19-Jun-2019 | 12 | 30 | Monthly |
| 3130AGMZ5 | Federal Home Loan Banks | 38.5 | 20-Jun-2019 | 6 | 1 | Qtrly |
| 40054PCE3 | Goldman Sachs Bank USA/New York NY | 1 | 20-Jun-2019 | 12 | 25 | Qtrly |
| 40054PCJ2 | Goldman Sachs Bank USA/New York NY | 0.5 | 20-Jun-2019 | 15 | 30 | Qtrly |
| 3130AGN35 | Federal Home Loan Banks | 30 | 21-Jun-2019 | 12 | 3.5 | Qtrly |
| 06050TMM1 | Bank of America NA | 2.5 | 21-Jun-2019 | 24 | 55 | Qtrly |
| 31422BGW4 | Federal Agricultural Mortgage Corp | 0.25 | 21-Jun-2019 | 18 | 8 | Qtrly |
| 40054PDA0 | Goldman Sachs Bank USA/New York NY | 1.3 | 24-Jun-2019 | 12 | 25 | Qtrly |
| 40054PDE2 | Goldman Sachs Bank USA/New York NY | 0.3 | 26-Jun-2019 | 15 | 30 | Qtrly |
| 22549LRZ0 | Credit Suisse AG/New York NY | 0.75 | 27-Jun-2019 | 13 | 32 | Monthly |
| 31422BHG8 | Federal Agricultural Mortgage Corp | 0.25 | 27-Jun-2019 | 15 | 6 | Qtrly |
| 3130AGPH2 | Federal Home Loan Banks | 16 | 28-Jun-2019 | 9 | 3 | Qtrly |
| 3130AGPJ8 | Federal Home Loan Banks | 22.5 | 28-Jun-2019 | 15 | 4.5 | Qtrly |
| 40054PAK1 | Goldman Sachs Bank USA/New York NY | 0.5 | 28-Jun-2019 | 12 | 25 | Qtrly |
| 40054PED3 | Goldman Sachs Bank USA/New York NY | 2 | 28-Jun-2019 | 12 | 25 | Qtrly |
| 22549LSD8 | Credit Suisse AG/New York NY | 2.5 | 02-Jul-2019 | 13 | 32 | Monthly |
| 31422BHP8 | Federal Agricultural Mortgage Corp | 0.5 | 02-Jul-2019 | 15 | 7 | Qtrly |
| 22549LSR7 | Credit Suisse AG/New York NY | 3.855 | 08-Jul-2019 | 12 | 28 | Monthly |
| 3134GTZR7 | Federal Home Loan Mortgage Corp | 21 | 08-Jul-2019 | 12 | 2 | Qtrly |
| 78012UQD0 | Royal Bank of Canada/New York NY | 2.97 | 09-Jul-2019 | 12 | 24 | Qtrly |
| 3134GTZV8 | Federal Home Loan Mortgage Corp | 23.75 | 10-Jul-2019 | 12 | 2 | Qtrly |
| 3130AGQA6 | Federal Home Loan Banks | 25 | 10-Jul-2019 | 24 | 7.5 | Qtrly |
| 06370RR92 | Bank of Montreal/Chicago IL | 2.38 | 11-Jul-2019 | 12 | 25 | Qtrly |
| 40054PEE1 | Goldman Sachs Bank USA/New York NY | 1 | 11-Jul-2019 | 12 | 25 | Qtrly |
| 3134GTC43 | Federal Home Loan Mortgage Corp | 10.1 | 11-Jul-2019 | 9 | 0 | Qtrly |
| 3134GTD26 | Federal Home Loan Mortgage Corp | 3.95 | 12-Jul-2019 | 18 | 3 | Qtrly |
| 22532XMH8 | Credit Agricole Corporate and Investment Bank/New York | 1.1 | 12-Jul-2019 | 7 | 15 | Monthly |
| 22549LSZ9 | Credit Suisse AG/New York NY | 0.3 | 12-Jul-2019 | 4 | 11 | Monthly |
| 3133EKUW4 | Federal Farm Credit Banks Funding Corp | 5 | 15-Jul-2019 | 24 | 7.5 | Qtrly |
| 22549LTD7 | Credit Suisse AG/New York NY | 0.4 | 15-Jul-2019 | 10 | 22 | Monthly |
| 3134GTD91 | Federal Home Loan Mortgage Corp | 6 | 16-Jul-2019 | 9 | 0 | Qtrly |
| 78012UQG3 | Royal Bank of Canada/New York NY | 0.4 | 16-Jul-2019 | 9 | 20 | Qtrly |
| 63873N3F6 | Natixis SA/New York NY | 1 | 16-Jul-2019 | 12 | 26 | Monthly |
| 22549LTH8 | Credit Suisse AG/New York NY | 1.8 | 16-Jul-2019 | 6 | 18 | Monthly |
| 3130AGRL1 | Federal Home Loan Banks | 20 | 17-Jul-2019 | 12 | 3 | Qtrly |
| 78012UQM0 | Royal Bank of Canada/New York NY | 1.775 | 17-Jul-2019 | 12 | 29 | Qtrly |
| 78012UQP3 | Royal Bank of Canada/New York NY | 2 | 18-Jul-2019 | 13 | 31 | Qtrly |
| 22549LTM7 | Credit Suisse AG/New York NY | 0.35 | 18-Jul-2019 | 12 | 27 | Monthly |
| 3130AGSE6 | Federal Home Loan Banks | 30 | 22-Jul-2019 | 9 | 2.5 | Qtrly |
| 3130AGSF3 | Federal Home Loan Banks | 17.5 | 22-Jul-2019 | 18 | 5 | Qtrly |
| 3134GTJ38 | Federal Home Loan Mortgage Corp | 10 | 22-Jul-2019 | 12 | 1 | Qtrly |
| 3134GTJ46 | Federal Home Loan Mortgage Corp | 6.3 | 22-Jul-2019 | 18 | 3 | Qtrly |
| 6174468J1 | Morgan Stanley | 20 | 23-Jul-2019 | 73 | 115.2 | S/A |
| 3130AGTG0 | Federal Home Loan Banks | 28 | 26-Jul-2019 | 6 | 1 | Qtrly |
| 3130AGTF2 | Federal Home Loan Banks | 30 | 26-Jul-2019 | 24 | 7.5 | Qtrly |
| 31422BJM3 | Federal Agricultural Mortgage Corp | 0.25 | 26-Jul-2019 | 26 | 13 | Qtrly |
| 31422BJH4 | Federal Agricultural Mortgage Corp | 0.5 | 26-Jul-2019 | 23 | 11 | Qtrly |
| 06370RT82 | Bank of Montreal/Chicago IL | 1 | 26-Jul-2019 | 12 | 25 | Qtrly |
| 31422BJG6 | Federal Agricultural Mortgage Corp | 0.5 | 26-Jul-2019 | 17 | 7 | Qtrly |
| 3135G0V83 | Federal National Mortgage Association | 20 | 29-Jul-2019 | 18 | 4 | Qtrly |
| 22549LTV7 | Credit Suisse AG/New York NY | 11.42 | 30-Jul-2019 | 6 | 21 | Monthly |
| 63873N3U3 | Natixis SA/New York NY | 1.2 | 30-Jul-2019 | 12 | 23 | Monthly |
| Bank of Montreal/Chicago IL | 2 | 30-Jul-2019 | 6 | 14 | Qtrly | |
| JPMorgan Chase & Co | 22.5 | 31-Jul-2019 | 6 | 338 | S/A | |
| Sumitomo Mitsui Banking Corp/New York | 5 | 31-Jul-2019 | 6 | 21 | Monthly | |
| Bank of Montreal/Chicago IL | 0.4 | 31-Jul-2019 | 12 | 26 | Qtrly | |
| Federal Home Loan Banks | 18 | 01-Aug-2019 | 18 | 5 | Qtrly | |
| Credit Suisse AG/New York NY | 2.75 | 02-Aug-2019 | 6 | 18 | Monthly | |
| Bank of Montreal/Chicago IL | 0.6 | 02-Aug-2019 | 12 | 26 | Qtrly | |
| Federal Home Loan Mortgage Corp | 8.475 | 05-Aug-2019 | 37 | 13 | Qtrly | |
| Federal Home Loan Mortgage Corp | 13 | 05-Aug-2019 | 18 | 3 | Qtrly | |
| Federal Home Loan Mortgage Corp | 1.55 | 05-Aug-2019 | 15 | 1.5 | Qtrly | |
| International Bank for Reconstruction & Development | 5 | 06-Aug-2019 | 61 | 30 | Qtrly | |
| Credit Suisse AG/New York NY | 1 | 07-Aug-2019 | 12 | 29 | Monthly | |
| Credit Suisse AG/New York NY | 3.1 | 07-Aug-2019 | 6 | 18 | Monthly | |
| Federal Home Loan Mortgage Corp | 3.75 | 07-Aug-2019 | 12 | 0.5 | Qtrly | |
| Federal Home Loan Banks | 15 | 08-Aug-2019 | 15 | 3 | Qtrly | |
| Federal Agricultural Mortgage Corp | 1 | 08-Aug-2019 | 18 | 7 | Qtrly | |
| Federal Home Loan Banks | 25 | 09-Aug-2019 | 18 | 4 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.25 | 09-Aug-2019 | 15 | 6 | Qtrly | |
| Federal Home Loan Mortgage Corp | 21.7 | 12-Aug-2019 | 6 | 0 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.65 | 12-Aug-2019 | 6 | 2 | Qtrly | |
| Federal Home Loan Mortgage Corp | 20.25 | 13-Aug-2019 | 9 | 0.5 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.3 | 13-Aug-2019 | 12 | 4 | Qtrly | |
| Federal Home Loan Banks | 32.5 | 14-Aug-2019 | 9 | 2 | Qtrly | |
| Federal Home Loan Banks | 37.5 | 14-Aug-2019 | 21 | 5.5 | Qtrly | |
| Grant Bancshares Inc | 0.165 | 14-Aug-2019 | 122 | 436 | S/A | |
| Grant Bancshares Inc | 0.165 | 14-Aug-2019 | 122 | 436 | S/A | |
| Credit Suisse AG/New York NY | 5.2 | 15-Aug-2019 | 6 | 23 | Monthly | |
| Federal Home Loan Mortgage Corp | 30 | 15-Aug-2019 | 6 | 0 | Qtrly | |
| Federal Home Loan Mortgage Corp | 18.6 | 16-Aug-2019 | 9 | 0.5 | Qtrly | |
| Credit Suisse AG/New York NY | 0.5 | 16-Aug-2019 | 6 | 22 | Monthly | |
| Federal Home Loan Mortgage Corp | 18.82 | 19-Aug-2019 | 18 | 3 | Qtrly | |
| Credit Suisse AG/New York NY | 0.5 | 19-Aug-2019 | 6 | 22 | Monthly | |
| Goldman Sachs Bank USA/New York NY | 6.4747 | 20-Aug-2019 | 12 | 28 | Qtrly | |
| Federal Farm Credit Banks Funding Corp | 5 | 20-Aug-2019 | 24 | 6.5 | Qtrly | |
| Federal Home Loan Mortgage Corp | 2.75 | 20-Aug-2019 | 15 | 2 | Qtrly | |
| Federal Home Loan Banks | 32.5 | 21-Aug-2019 | 6 | 1 | Qtrly | |
| Federal Home Loan Banks | 37.5 | 21-Aug-2019 | 12 | 3 | Qtrly | |
| State Street Bank and Trust Co | 3 | 21-Aug-2019 | 3 | 20 | Monthly | |
| Mizuho Bank Ltd/New York NY | 2 | 22-Aug-2019 | 6 | 21 | Monthly | |
| Federal Agricultural Mortgage Corp | 0.5 | 22-Aug-2019 | 18 | 6 | Qtrly | |
| Federal Home Loan Banks | 30 | 23-Aug-2019 | 9 | 2 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.15 | 23-Aug-2019 | 24 | 10 | Qtrly | |
| Morgan Stanley | 0.01 | 23-Aug-2019 | 24 | 0 | Qtrly | |
| Federal National Mortgage Association | 20 | 26-Aug-2019 | 9 | 1 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 3.85 | 26-Aug-2019 | 18 | 43 | Qtrly | |
| Federal National Mortgage Association | 20 | 26-Aug-2019 | 6 | 0.5 | Qtrly | |
| Federal Agricultural Mortgage Corp | 0.15 | 26-Aug-2019 | 12 | 5 | Qtrly | |
| Federal Home Loan Banks | 50 | 28-Aug-2019 | 3 | 1.5 | #N/A Field Not Applicable | |
| Credit Suisse AG/New York NY | 1.8 | 28-Aug-2019 | 6 | 23 | Monthly | |
| European Bank for Reconstruction & Development | 10 | 29-Aug-2019 | 36 | 26 | Qtrly | |
| Sumitomo Mitsui Trust Bank Limited/ New York | 1.5 | 29-Aug-2019 | 6 | 21 | Monthly | |
| Federal Farm Credit Banks Funding Corp | 1.2 | 29-Aug-2019 | 36 | 15 | Qtrly | |
| Federal Home Loan Banks | 48 | 30-Aug-2019 | 18 | 6.5 | Qtrly | |
| Federal Home Loan Mortgage Corp | 20.04 | 03-Sep-2019 | 9 | 3 | Qtrly | |
| Federal Home Loan Mortgage Corp | 32.65 | 03-Sep-2019 | 6 | 2 | Qtrly | |
| Federal Home Loan Mortgage Corp | 2.5 | 03-Sep-2019 | 12 | 1 | Qtrly | |
| Federal Home Loan Mortgage Corp | 15.25 | 04-Sep-2019 | 6 | 2 | Qtrly | |
| Federal Home Loan Mortgage Corp | 7.45 | 04-Sep-2019 | 9 | 3 | Qtrly | |
| Sumitomo Mitsui Trust Bank Limited/ New York | 1.5 | 05-Sep-2019 | 6 | 21 | Monthly | |
| Natixis SA/New York NY | 1.6 | 05-Sep-2019 | 12 | 35 | Monthly | |
| Credit Suisse AG/New York NY | 0.1 | 05-Sep-2019 | 12 | 30 | Monthly | |
| Federal Home Loan Banks | 47.5 | 06-Sep-2019 | 6 | 3 | Qtrly | |
| Northpointe Bancshares Inc | 0.2 | 09-Sep-2019 | 122 | 490.5 | S/A | |
| Northpointe Bancshares Inc | 0.2 | 09-Sep-2019 | 122 | 490.5 | S/A | |
| Federal Home Loan Mortgage Corp | 40 | 10-Sep-2019 | 12 | 4 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 0.72 | 10-Sep-2019 | 12 | 30 | Qtrly | |
| Credit Suisse Group AG | 20 | 11-Sep-2019 | 73 | 156 | S/A | |
| Credit Suisse Group AG | 20 | 11-Sep-2019 | 73 | 156 | S/A | |
| Credit Suisse AG/New York NY | 0.75 | 11-Sep-2019 | 9 | 26 | Monthly | |
| Sumitomo Mitsui Trust Bank Limited/ New York | 1.8 | 11-Sep-2019 | 6 | 21 | Monthly | |
| Federal Farm Credit Banks Funding Corp | 2 | 11-Sep-2019 | 12 | 3.5 | Qtrly | |
| JPMorgan Chase & Co | 30 | 12-Sep-2019 | 135 | 151 | S/A | |
| Asian Development Bank | 6 | 12-Sep-2019 | 24 | 24 | Qtrly | |
| Federal Home Loan Banks | 10 | 12-Sep-2019 | 24 | 8.5 | Qtrly | |
| F&M Financial Corp/TN | 0.5 | 12-Sep-2019 | 122 | 484 | S/A | |
| Federal Agricultural Mortgage Corp | 0.25 | 12-Sep-2019 | 19 | 10 | Qtrly | |
| Federal Home Loan Mortgage Corp | 4.5 | 12-Sep-2019 | 3 | 0.5 | #N/A Field Not Applicable | |
| F&M Financial Corp/TN | 0.5 | 12-Sep-2019 | 122 | 484 | S/A | |
| Citigroup Inc | 15 | 12-Sep-2019 | 6 | 381.3 | S/A | |
| Federal Farm Credit Banks Funding Corp | 5 | 13-Sep-2019 | 24 | 7.5 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 1 | 13-Sep-2019 | 12 | 30 | Qtrly | |
| Federal Home Loan Mortgage Corp | 5.025 | 17-Sep-2019 | 9 | 3 | Qtrly | |
| Credit Suisse AG/New York NY | 0.5 | 17-Sep-2019 | 9 | 26 | Monthly | |
| Inter-American Development Bank | 10 | 18-Sep-2019 | 36 | 26 | Qtrly | |
| Federal Home Loan Banks | 70 | 18-Sep-2019 | 4 | 4.5 | Qtrly | |
| Goldman Sachs Bank USA/New York NY | 0.5 | 18-Sep-2019 | 12 | 30 | Qtrly | |
| Royal Bank of Canada/New York NY | 1.525 | 19-Sep-2019 | 12 | 32 | Qtrly | |
| Midland States Bancorp Inc | 0.7275 | 20-Sep-2019 | 122 | 361 | S/A | |
| Midland States Bancorp Inc | 0.7275 | 20-Sep-2019 | 122 | 361 | S/A | |
| Midland States Bancorp Inc | 0.2725 | 20-Sep-2019 | 183 | 404.5 | S/A | |
| Midland States Bancorp Inc | 0.2725 | 20-Sep-2019 | 183 | 404.5 | S/A | |
| Federal Home Loan Banks | 56.5 | 23-Sep-2019 | 15 | 10 | Qtrly | |
| Bank of Montreal/Chicago IL | 1.4 | 23-Sep-2019 | 12 | 32 | Qtrly | |
| Federal Farm Credit Banks Funding Corp | 5 | 24-Sep-2019 | 24 | 14 | Qtrly | |
| Federal Home Loan Banks | 40 | 26-Sep-2019 | 6 | 6.5 | Qtrly | |
| CIT Bank NA | 5.5 | 27-Sep-2019 | 73 | 171.5 | S/A | |
| Credit Suisse AG/New York NY | 5.5 | 27-Sep-2019 | 12 | 45 | Monthly | |
| Toronto-Dominion Bank/NY | 5.23 | 30-Sep-2019 | 12 | 42 | Qtrly | |
| Federal Home Loan Banks | 30 | 30-Sep-2019 | 10 | 10 | Qtrly | |
| Southern First Bancshares Inc | 0.23 | 30-Sep-2019 | 122 | 340.8 | S/A | |
| Southern First Bancshares Inc | 0.23 | 30-Sep-2019 | 122 | 340.8 | S/A |
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.
