SOFR Swaps Traded Volume Hit New High in January
By Louie Woodall
February 5, 2021, Risk
In January, $222.7 billion of swaps linked to the secured overnight funding rate (SOFR) changed hands, the highest notional volume on record, surpassing last October’s total by over $5 billion.
The majority of SOFR-linked instruments traded last month were swaps covering the basis between SOFR and other floating rates, like Libor. Overnight index swaps (OIS) were the second-most traded, followed by SOFR cap and floor products.
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