SOFR Swaps Top $50B In Daily Volume As Firms Prepare To Cease New Libor Use
Date 03/11/2021
SOFR Overnight Index Swaps (OIS) averaged daily notional turnover of $51.6 Billion in October, according Clarus Financial Technology data
With daily turnover having grown more than 400% since June (the last full month prior to the SOFR First initiative), SOFR accounted for more than 32% of USD Libor/SOFR DV01 traded in October
Five federal financial institution regulatory agencies issued a joint statement on October 20, clarifying “the meaning of no new Libor contracts” as it pertains to supervised institutions subject to previous Supervisory Guidance
