Mar-20 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 Feb 2020

SOFR basis swaps have begun to overtake SOFR OIS swaps but this seems to be due to traded notional, not trade count. In addition to SOFR futures options now trading on the CME, the first two SOFR Swaptions have also traded. 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 Feb 2020

Futures trading was largely in line with Q4 2019. 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

Overall, 49 institutions have issued $376 billion notional in floating rate instruments tied to SOFR, with a new monthly high of over $10B issued in the 3-year tenor during January 2020, with February as the second highest with $48B issued.

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.