Libor’s death propels SOFR swaps market
Trading in the risk-free rate jumped to a weekly high and long-dated swaps activity grew
Trading in the US dollar Libor replacement rate surged to record levels last week but remained well behind the interbank alternative as the market adjusted to life without most of the Libor rates.
Swaps referencing the secured overnight financing rate (SOFR) totalled $841 billion notional in the week ending January 9, according to figures from the Depository Trust & Clearing Corporation’s (DTCC) swap data repository. The figure represented the most active week yet for the SOFR swap market
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