4
$\begingroup$

We have now moved to discounting using OIS-SOFR swaps on cleared products and SOFR products in general have picked up in liquidity since last time this question was asked. I'd therefore like to additionally ask (if anyone here is knowledgeable about the exact mechanics of the currently traded USD OIS-SOFR swaps):

1) Which OIS-SOFR tenors are currently the most liquid?

2) For which maturities do the USD OIS-SOFR swaps trade as single-period (i.e. single coupon) swaps, and for which maturities do these trade as multi-coupon swaps? When these are multi-coupon, what is the fixed & floating coupon frequency please?

$\endgroup$
2
2
+50
$\begingroup$

I like this particular blog on rates: https://www.clarusft.com/blog/

Specifically, here is post with some info on SOFR swaps liquidity. There is a section in this post on SOFR volumes by tenor: https://www.clarusft.com/sofr-futures-and-swaps-feb-2021/

useful details on sofr swaps, from the same blog: https://www.clarusft.com/sofr-swap-nuances/

Specifically:

SOFR swaps are different:

A Fixed-Float SOFR swap trades with annual payments on each side. The annual payments are calculated using an Act/360 DCC.

so any swap with <=1y tenor would be traded as a single-period, and >1y is a multi-period Anual/Anual. These are `standard'' conventions, a client may ask for a different one from a dealer. Also note that SOFR fallbacks for existing Libor swaps will follow Libor conventions 3M float/6M fixed, with some changes ("shift") to observation dates

$\endgroup$
3
  • $\begingroup$ That's really great, thank you so much! I'll wait a few days if anyone else wants to contribute and will then accept & award the bounty. $\endgroup$ – Jan Stuller Mar 21 at 17:42
  • 1
    $\begingroup$ no rush! maybe there are some real sofr market makers in the community.. $\endgroup$ – piterbarg Mar 21 at 17:52
  • $\begingroup$ PS: your answer made me realize that after Libor cessation, there will be two distinct types of SOFR swaps: ones with quarterly or semiannual frequencies, compounding SOFR and adding a fixed spread, and then also the SOFR swaps that already trade now as OIS (to hedge funding). Will be super-interesting to see whether the "ceased-Libor SOFR Swaps" will survive or gradually phase out. Given bond hedging etc, I'd expect the semiannual and quarterly frequencies to keep trading. $\endgroup$ – Jan Stuller Mar 22 at 9:47

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.