2020 SOFR Ecosystem Mid-Year Recap

6 Jul 2020

By Anna Ellis and Bobby Timberlake 

After building tremendous momentum in autumn 2019, SOFR floating rate note (FRN) issuance saw a slowdown in winter, only to surge to new highs in Q1 and Q2 2020.

Already over $650 billion notional to date, from 50+ participants, the FRN market growth is expected to accelerate as several major deadlines are crossed.

While the latter half of 2019 had Federal Reserve policy uncertainty as the main driver of volatility, the economic fallout from COVID-19 and the Federal Open Market Committee (FOMC) aggressively cutting rates during March 2020 impacted the system and spilled over into repo rates which underlie the SOFR benchmark.