CME's Mid-Year Recap of SOFR Ecosystem Published

The CME recently published their assessment of the “SOFR Ecosystem” as it stands now, 18 months prior to the anticipated cessation of LIBOR’s publication at the end of 2021.

Key Highlights are:

  • SOFR futures bounced back from slumps in April and May.
  • Fannie Mae and Freddie Mac have also significantly ramped up their borrowing and now lead in overall notional issuance.
  • SOFR issuance saw a slowdown in winter 2019, only to surge to new highs in H1 2020. Total issuance is now nearly $700 billion.
  • Terms are also beginning to lengthen in SOFR-based issuance and even some issuance as long as 7-years have been sold.

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