Mixed signals as swap dealers begin quoting ‘SOFR first’

Swaps referencing Libor successor revert to year averages after initial spike on conventions switch


A major initiative to usher US dollar swap markets onto the secured overnight financing rate has delivered mixed early results, with the share of trading in the Libor successor reverting to prior norms after an initial uptick.

On July 26, the first day of the ‘SOFR first’ drive that saw interdealer markets switch US dollar swaps quoting conventions from Libor to SOFR, the risk-free rate (RFR) made up 8% of US dollar swap notional activity. SOFR trading fell closer to the year’s average on July

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