2.5.21
A record level of swap trading activity based on the Secured Overnight Financing Rate (SOFR) took place in January, totaling more than $222 billion of notional volume. That level exceeds the previous record – set in October 2020 – by $5 billion. This trend is positive for LIBOR transition efforts as it indicates increased use and liquidity in SOFR-based contracts. According to Risk.net, “the majority of SOFR-linked instruments traded last month were swaps covering the basis between SOFR and other floating rates, like Libor.”