Inter-dealer broking firm Tradition says it has seen a “strong increase” in trading activity linked to the secured overnight financing rate (SOFR). During January, the firm says that SOFR-linked trades facilitated by its voice brokers and executed on its hybrid and swap execution facilities in the US accounted for approximately 65% of all inter-dealer broking on-SEF […]
LCH says it has cleared the first dollar interest rate swaps referencing the Secured Overnight Financing Rate (SOFR), which was identified last year by a committee established by the Federal Reserve as representing the best alternative reference rate for benchmarking dollar interest rate derivatives.
SOFR was first published by the Federal Reserve Bank of New York in April 2018, LCH says Credit Suisse, Goldman Sachs and JP Morgan were among the first participants to clear swaps using the new rate.
CME Group has announced it will launch monthly and quarterly Secured Overnight Financing Rate (SOFR) futures on May 7, pending regulatory review.
The announcement comes one day after the Federal Reserve Bank of New York said it would start publishing Treasury repo reference rates from April 3. The futures will be based on the Alternative Reference Rates Committee-endorsed SOFR index, and although correlated with Libor and effective federal funds rates, SOFR, a broad Treasury repo index, is distinct from these rates, CME says.