Sonia/SOFR swaps jump ahead of ‘RFR First’ initiative

- By Ben St. Clair
- 22 Sep 2021

Trading in cross-currency swaps referencing risk-free rates (RFRs) on both legs spiked for a second time this year in the lead-up to the latest push from UK regulators.

Figures from the Depository Trust & Clearing Corporation’s swap data repository (SDR) show $6.5 billion notional of trades with the secured overnight financing rate (SOFR) on one leg and the sterling overnight index average (Sonia

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