Average and Term SOFR Volumes in 2022

Recently I looked at Term SOFR and BSBY Volumes in 2022 and in that article I used a pretty loose definition of Term SOFR; basically anything where the index was not the standard overnight SOFR index. My goal being to isolate the trades not using overnight SOFR. Today I want to seperate out the use […]

Why Did SOFR Trading Decrease in January?

The ISDA-Clarus RFR Adoption Indicator for January 2023 has now been published. Showing; Why The Stasis? Am I becoming a broken record? In the past few weeks, I have written: All of those blogs are very much about the slower than required adoption of RFRs, particularly SOFR, as June 2023 fast approaches. What does this tell […]

Term SOFR and BSBY Volumes in 2022

We looked into Term SOFR and BSBY Swap Volumes in April 2022 and What’s New in Term SOFR in November 2022, so today I will update that blog to see how trade volumes in these reference indices developed in 2022. Term SOFR Swaps In SDRView, I can group USD FixedFloat Swaps by the Reference Index […]

CORRA First – Clients don’t get it

CORRA First was put in place on January 9th 2023 to help CAD interest rate derivatives transition from CDOR to CORRA. For all of the juicy details, please see my blog from last year: Transparency is Better Than Ever RFR transition in Canadian markets may seem a little niche for some of our readers. However, […]

SOFR Swaps D2D Volumes and Share

SOFR Swap Volumes at D2D SEFs Volumes in SEFView reported by D2D SEFs under CFTC Part 16 regulations for last week. Showing that Tradition is the largest with $70 billion, followed by TP at $42 billion and IGDL(ICAP) at $32 billion. However we know that in terms of market share that represents revenue share, these […]