- Driven by the SOFR First initiative recommended by the CFTC’s Market Risk Advisory Committee, last week SOFR swaps exceeded 20% of the DV01 traded among SOFR and USD Libor swaps, according to Clarus Financial Technology data
- By comparison, SOFR swaps accounted for just 3% of DV01 traded for the previous 60-day period leading up to July 25
- The jump in market share shows increased momentum toward meeting regulators’ goal of transitioning away from Libor by year-end
- “All firms should be moving quickly to meet our supervisory guidance advising them to end the new use of Libor this year,” said Federal Reserve Board Vice Chair Randal K. Quarles in a July 29 press release announcing ARRC’s formal recommendation of Term SOFR
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