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1

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: ...


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OIS Discounting: First note that we already discount using USD OIS rates, but these would be OIS rates constructed from USD OIS Swaps linked to the Effective Federal Funds Rate (EFFR). In other words, the floating rate of the OIS swap would be based on the EFFR rate, whilst the fixed leg would be the normal fixed leg we are used to seeing in swaps. So the ...


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