SOFR trading tails off after ‘big bang’ boost

Volumes peak, then slow down on CCPs’ shift to new RFR, but remain above 2020 averages


Swaps trading in the secured overnight financing rate (SOFR) hit new highs, then fell away in the two weeks after the so-called ‘big bang’ shift, when it became the discount rate of choice for cleared US dollar derivatives. These modest trading volumes have nonetheless remained above the lifetime average of the SOFR swaps market, which saw its first recorded trade in July 2018.

The shift – in which the LCH and CME switched to US regulators’ preferred replacement risk-free rate – was an

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