Mar-19 SOFR Market Adoption
As part of our ongoing efforts to help you monitor the potential replacement of LIBOR and/or OIS by newly designated alternative reference rates (ARR), we have summarized the latest market activity for the ARR for USD LIBOR, SOFR. Further details about these market changes are available in our LIBOR Replacement Watchlist.
You can also download this market summary.
SOFR Swap Trading-to-date
SOFR-based OIS trading grew significantly at the start of 2019 and both notional and trade count continue to grow for OIS and Basis Swaps. See ISDA Analysis for more details.
| 31-Aug-2018 | 14-Sep-2018 | 21-Sep-2018 | 28-Sep-2018 | 05-Oct-2018 | 12-Oct-2018 | 19-Oct-2018 | 26-Oct-2018 | 02-Nov-2018 | 09-Nov-2018 | 16-Nov-2018 | 23-Nov-2018 | 30-Nov-2018 | 07-Dec-2018 | 14-Dec-2018 | 21-Dec-2018 | 28-Dec-2018 | 04-Jan-2019 | 11-Jan-2019 | 18-Jan-2019 | 25-Jan-2019 | 01-Feb-2019 | 08-Feb-2019 | 15-Feb-2019 | 22-Feb-2019 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SOFR OIS | 0.1 | 0.1 | 0.1 | 0.2 | 0.2 | 0.2 | 0.2 | 0.2 | 1.7 | 1.7 | 1.8 | 3 | 3.6 | 3.6 | 3.8 | 3.8 | 3.8 | 3.8 | 5.1 | 6.6 | 8.9 | 10.7 | 11.9 | 12.2 | 12.5 |
| SOFR Basis Swaps | 1.4 | 1.4 | 1.4 | 1.4 | 1.6 | 1.6 | 1.8 | 1.8 | 2.0 | 2.0 | 2.0 | 2.0 | 2.4 | 2.4 | 2.4 | 2.5 | 2.5 | 2.5 | 2.5 | 2.5 | 2.7 | 2.7 | 2.8 | 3.1 | 3.1 |
| 31-Aug-2018 | 14-Sep-2018 | 21-Sep-2018 | 28-Sep-2018 | 05-Oct-2018 | 12-Oct-2018 | 19-Oct-2018 | 26-Oct-2018 | 02-Nov-2018 | 09-Nov-2018 | 16-Nov-2018 | 23-Nov-2018 | 30-Nov-2018 | 07-Dec-2018 | 14-Dec-2018 | 21-Dec-2018 | 28-Dec-2018 | 04-Jan-2019 | 11-Jan-2019 | 18-Jan-2019 | 25-Jan-2019 | 01-Feb-2019 | 08-Feb-2019 | 15-Feb-2019 | 22-Feb-2019 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| SOFR OIS | 2 | 2 | 2 | 3 | 3 | 3 | 3 | 4 | 6 | 7 | 9 | 19 | 23 | 23 | 24 | 24 | 24 | 24 | 31 | 37 | 45 | 53 | 59 | 61 | 62 |
| SOFR Basis Swaps | 12 | 12 | 12 | 12 | 16 | 16 | 21 | 21 | 24 | 24 | 25 | 25 | 27 | 27 | 27 | 28 | 28 | 28 | 29 | 29 | 32 | 32 | 33 | 39 | 39 |
ISDA Analysis on SOFR Swaps. (For trades reported to DTCC and Bloomberg SDRs which are required to be disclosed under US regulatory guidelines.)
SOFR Futures Trading-to-date
SOFR futures trading also saw significant acceleration at the beginning of the year with OI increasing 42% in January. For more details, check out the latest SOFR futures recap from the CME.
CME Futures Volume Chart
SOFR-based Debt Issuances-to-date
Likewise, SOFR debt issuances picked up pace considerably with a new monthly high of $16.4 billion issued in February. Total cash issuance is now at $70B from 19 different institutions.
SOFR Debt Issuances-to-date. Sources: CME, Bloomberg
| CUSIP | Issuer | Amount Issued (Millions) | Issue Date | Tenor (months) | Spread (bps) | Frequency |
|---|---|---|---|---|---|---|
| 3136G4TH6 | Federal National Mortgage Association | 15 | 30-Jul-2018 | 18 | 16 | Qtrly |
| 3136G4TG8 | Federal National Mortgage Association | 20 | 30-Jul-2018 | 12 | 12 | Qtrly |
| 459058GK3 | International Bank for Reconstruction & Development | 10 | 21-Aug-2018 | 24 | 22 | Qtrly |
| 59217GCQ0 | Metropolitan Life Global Funding I | 10 | 07-Sep-2018 | 24 | 57 | Qtrly |
| 59217HBT3 | Metropolitan Life Global Funding I | 10 | 07-Sep-2018 | 24 | 57 | Qtrly |
| 94989RW79 | Wells Fargo Bank NA | 1.25 | 21-Sep-2018 | 12 | 35 | Monthly |
| 94988J5S2 | Wells Fargo Bank NA | 10 | 25-Sep-2018 | 18 | 48 | Qtrly |
| 22549LVE2 | Credit Suisse AG/New York NY | 7.85 | 05-Oct-2018 | 6 | 27 | Monthly |
| 22549LLZ6 | Credit Suisse AG/New York NY | 2.71 | 05-Oct-2018 | 12 | 38 | Monthly |
| 48125LRR5 | JPMorgan Chase Bank NA | 8 | 19-Oct-2018 | 24 | 55 | Qtrly |
| 3135G0U76 | Federal National Mortgage Association | 15 | 30-Oct-2018 | 18 | 10 | Qtrly |
| 3135G0U68 | Federal National Mortgage Association | 15 | 30-Oct-2018 | 12 | 7 | Qtrly |
| 3135G0U50 | Federal National Mortgage Association | 20 | 30-Oct-2018 | 6 | 4 | Qtrly |
| AV1597203 | Landeskreditbank Baden-Wuerttemberg Foerderbank | 0.17 | 31-Oct-2018 | 12 | 27 | Qtrly |
| 22549LRN7 | Credit Suisse AG/New York NY | 5.75 | 01-Nov-2018 | 6 | 43 | Monthly |
| 22549LRJ6 | Credit Suisse AG/New York NY | 1 | 02-Nov-2018 | 6 | 43 | Monthly |
| 3134GSE68 | Federal Home Loan Mortgage Corp | 10 | 08-Nov-2018 | 6 | 2.5 | Qtrly |
| 06370RNX3 | Bank of Montreal/Chicago IL | 6 | 09-Nov-2018 | 6 | 44 | Monthly |
| 3130AFFW2 | Federal Home Loan Banks | 25 | 15-Nov-2018 | 12 | 6.5 | Qtrly |
| 3130AFFV4 | Federal Home Loan Banks | 15 | 15-Nov-2018 | 6 | 4 | Qtrly |
| 06417G3B2 | Bank of Nova Scotia/Houston | 17 | 19-Nov-2018 | 6 | 43 | Monthly |
| 298785HU3 | European Investment Bank | 10 | 05-Dec-2018 | 35 | 32 | Qtrly |
| 00828EDE6 | African Development Bank | 1.5 | 06-Dec-2018 | 24 | 32 | Qtrly |
| 3130AFK22 | Federal Home Loan Banks | 20.5 | 10-Dec-2018 | 9 | 6 | Qtrly |
| 3130AFK30 | Federal Home Loan Banks | 15.5 | 10-Dec-2018 | 18 | 11 | Qtrly |
| 63873NA76 | Natixis SA/New York NY | 3.5 | 12-Dec-2018 | 6 | 48 | Monthly |
| 3134GSM69 | Federal Home Loan Mortgage Corp | 20 | 19-Dec-2018 | 6 | 3 | Qtrly |
| 3130AFLK1 | Federal Home Loan Banks | 40 | 21-Dec-2018 | 6 | 4 | Qtrly |
| 22549LRK3 | Credit Suisse AG/New York NY | 10.4 | 03-Jan-2019 | 6 | 45 | Monthly |
| 22549LRT4 | Credit Suisse AG/New York NY | 8.79 | 04-Jan-2019 | 6 | 45 | Monthly |
| 22549LRX5 | Credit Suisse AG/New York NY | 1 | 04-Jan-2019 | 12 | 57 | Monthly |
| 22549LSK2 | Credit Suisse AG/New York NY | 3.25 | 08-Jan-2019 | 12 | 55 | Monthly |
| 3134GSQ81 | Federal Home Loan Mortgage Corp | 5.52 | 09-Jan-2019 | 6 | 1 | Qtrly |
| 3134GSR23 | Federal Home Loan Mortgage Corp | 11.95 | 10-Jan-2019 | 3 | 0 | n/a |
| 3134GSR80 | Federal Home Loan Mortgage Corp | 3.4 | 11-Jan-2019 | 6 | 1 | Qtrly |
| 59217GCW7 | Metropolitan Life Global Funding I | 2.65 | 15-Jan-2019 | 24 | 85 | Qtrly |
| 59217HBZ9 | Metropolitan Life Global Funding I | 2.65 | 15-Jan-2019 | 24 | 85 | Qtrly |
| 3130AFQY6 | Federal Home Loan Banks | 10 | 17-Jan-2019 | 12 | 5 | Qtrly |
| 3130AFQX8 | Federal Home Loan Banks | 17.5 | 17-Jan-2019 | 6 | 2 | Qtrly |
| 3134GSU60 | Federal Home Loan Mortgage Corp | 10 | 17-Jan-2019 | 3 | -1 | n/a |
| 3130AFS73 | Federal Home Loan Banks | 15 | 24-Jan-2019 | 18 | 7.5 | Qtrly |
| 3134GSV93 | Federal Home Loan Mortgage Corp | 2.75 | 25-Jan-2019 | 3 | -2 | n/a |
| 3135G0V26 | Federal National Mortgage Association | 20 | 30-Jan-2019 | 18 | 6 | Qtrly |
| 3134GSY90 | Federal Home Loan Mortgage Corp | 9.85 | 05-Feb-2019 | 6 | -1 | Qtrly |
| 3133EJ6X2 | Federal Farm Credit Banks | 5 | 06-Feb-2019 | 12 | 3 | Qtrly |
| 22549LUX1 | Credit Suisse AG/New York NY | 0.65 | 06-Feb-2019 | 6 | 22 | Monthly |
| 3134GSZ24 | Federal Home Loan Mortgage Corp | 1.5 | 06-Feb-2019 | 3 | -2 | n/a |
| 22549LVB8 | Credit Suisse AG/New York NY | 5.25 | 07-Feb-2019 | 13 | 41 | Monthly |
| 3134GSZ32 | Federal Home Loan Mortgage Corp | 1.5 | 08-Feb-2019 | 3 | -2 | n/a |
| 3130AFVT1 | Federal Home Loan Banks | 10 | 13-Feb-2019 | 3 | -1 | n/a |
| 3130AFVU8 | Federal Home Loan Banks | 15 | 13-Feb-2019 | 9 | 1 | Qtrly |
| 48125LRT1 | JPMorgan Chase Bank NA | 2.5 | 19-Feb-2019 | 24 | 61 | Qtrly |
| 3134GS2V6 | Federal Home Loan Mortgage Corp | 13.15 | 20-Feb-2019 | 3 | -1 | n/a |
| 3130AFWY9 | Federal Home Loan Banks | 25.5 | 21-Feb-2019 | 12 | 3.5 | Qtrly |
| 3134GS3F0 | Federal Home Loan Mortgage Corp | 9.45 | 22-Feb-2019 | 3 | -1 | n/a |
| 60710A3B6 | Mizuho Bank Ltd/New York NY | 2 | 22-Feb-2019 | 6 | 25 | Monthly |
| 3130AFXS1 | Federal Home Loan Banks | 52.5 | 27-Feb-2019 | 6 | 2 | Qtrly |
| 3134GS4K8 | Federal Home Loan Mortgage Corp | 10 | 28-Feb-2019 | 12 | 2 | Qtrly |
| 3134GS5K7 | Federal Home Loan Mortgage Corp | 2.12 | 05-Mar-2019 | 6 | 0.5 | Qtrly |
| 3130AG2E4 | Federal Home Loan Banks | 32.5 | 08-Mar-2019 | 9 | 3 | Qtrly |
| 22549LWP6 | Credit Suisse AG/New York NY | 6.84 | 11-Mar-2019 | 12 | 38 | Monthly |
| 891160RQ8 | Toronto-Dominion Bank/The | 0.5 | 12-Mar-2019 | 24 | 61 | Qtrly |
| 17325FAW8 | Citibank NA | 10 | 13-Mar-2019 | 24 | 60 | Qtrly |
| 63873NN23 | Natixis SA/New York NY | 2.65 | 13-Mar-2019 | 12 | 34 | Monthly |
| 22549LUV5 | Credit Suisse AG/New York NY | 0.4 | 13-Mar-2019 | 4 | 12 | Monthly |
| AX5234981 | Landeskreditbank Baden-Wuerttemberg Foerderbank | 5 | 15-Mar-2019 | 37 | 35 | Qtrly |
| 3130AG3Q6 | Federal Home Loan Banks | 30 | 15-Mar-2019 | 24 | 11.5 | Qtrly |
| 31422BDQ0 | Federal Agricultural Mortgage Corp | 0.8 | 18-Mar-2019 | 12 | 5 | Qtrly |
| 3133EKDM5 | Federal Farm Credit Banks | 5 | 18-Mar-2019 | 24 | 12 | Qtrly |
About Epsilon Technologies Group
Epsilon is a vibrant capital markets technology solutions and services firm serving small and medium-sized financial institutions such as regional banks, Government-Sponsored Enterprises, and Federal Home Loan Banks. The Group’s deep expertise embraces every aspect of software development, products, data, technologies, and consulting. Epsilon offers ETS and Principia Analytic System as licensed products, and various innovative bespoke solutions across a broad set of capital markets domains. Epsilon also offers a full range of consulting services, including implementation, advisory, analytics, risk management, accounting, and data modeling.
