Continued – IBOR reform: Global IBOR transition – Q2 2021 review – P3

USD Swaps

SOFR will replace Fed Funds and USD-LIBOR, although the ARRC have recently approved a Term-SOFR whose adoption will be interesting to watch – There was an initial uptick in SOFR at the end of October 2020 driven by the CCPs switching from Fed Funds to SOFR discounting on 16th October 2020. Since then, SOFR has made very gradual further progress but still only makes up 3% of volume traded. Unlike the other LIBORs it is expected USD-LIBOR will continue to be published until June 30, 2023, albeit “SOFR first” applied to interdealer swaps from 26th July 2021.

 

… and approximately 5% of notional

 

… and much of the new IBOR transactions being executed matures post December 31, 2023 …

 

That said Fed Funds is trading more at long dated tenors…

 

…as is SOFR …

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