CCP discount switch drives record SOFR swap volumes

Historic move off fed funds discounting leads to trading surge

Dollar surge

The US dollar swaps market has taken its biggest stride towards adopting the secured overnight financing rate, as successful completion of the ‘big bang’ discounting switch at LCH and CME sparked record trading in swaps linked to the US regulator’s preferred Libor successor, and calmed a volatile basis between SOFR and fed funds-linked swaps.

Eagerly anticipated, given its scale and significance in the US Libor transition, the October 16–19 switch saw SOFR replace the Effective Federal Funds

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