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.

  !function(e,i,n,s){var t="InfogramEmbeds",d=e

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to copy this content. Please contact info@risk.net to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to Risk.net? View our subscription options

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here