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

Cross-currency swaps increasingly seeing RFRs on both legs

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) on the other for the week ending September 19.

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Although down from the previous week’s

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