A regulatory push in late July, to speed up the move away from US dollar Libor, has led to a three-fold trading volume rise in derivatives tied instead to SOFR, the secured overnight financing rate.

The news, building on statistics from the International Swaps and Derivatives Association (ISDA), is relayed by the International Financing Review.

SOFR-tied interest rate derivatives made up 9 percent of the total US swap volumes in the week that ended on 6 August. This was three times higher than in the first half of the year.


“That surge comes after the Commodity Futures Trading Commission’s “SOFR First” initiative took effect on July 26, recommending that SOFR replace Libor in interdealer US dollar swap trading conventions”, the International Financing Review notes.