Down but not out: US Libor trading continues amid ban

Outgoing rate hits market share lows in US swaps but little dent made in listed markets

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Contracts referencing US dollar Libor have continued to trade – albeit at lower volumes – in the first days of 2022, despite a ban on new use of the outgoing benchmark taking effect from January 1.

Data reported to the Depository Trust & Clearing Corporation (DTCC) show a third of traded US swaps notional, or $74 billion, referenced Libor on January 3, the first US trading day following the curbs.

Regulators’ preferred successor, the secured overnight financing rate, or SOFR, accounted for 30%

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