SOFR trading surged at year end

The volume of repo trades used to inform the secured overnight funding rate (SOFR) hit $1.1 trillion on the last day of 2020, the most since May 14. However, the year-end volume spike was muted compared with those witnessed in 2019 and 2018.

The average daily volume (ADV) of SOFR trades was $1.03 trillion for 2020, compared to $1.06 trillion in 2019 and $805.6 billion in 2018. Over the last five trading days of 2020, volumes averaged $959.4 billion, 7% below the full-year ADV. In contrast, the

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