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SOFR Swaps

Spreadover swaps continue to lead USD interest rate market

Glenn Wright
By Glenn Wright , Head of Capital Markets Data Products Mar 1, 2024
Spreadover swaps continue to lead USD interest rate market


In 2023 Libor cessation was finally completed and SOFR swaps have moved fully into the spotlight.

Looking back at the interdealer SOFR swaps trading last year and the how those swaps broke down by package, Clarus has identified one trade type lead the SOFR swap market. Spreadovers made up 70.4% of the SOFR swap market, dwarfing the other types traded throughout the year with 37,119 trades and over $1.5 billion of DV01 in that year.


Data source: Clarus Financial November 15, 2023

According to Clarus, in the crucial spreadover market ICAP maintained its position as the leading broker with 48% share while the balance of 51% is traded on the other 5 SEFs combined.

To help you better understand what is happening in the US swaps markets, get the data from the leading broker in the field.

Source: 2023 SEF Volumes and Share in SOFR Swaps | (

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