USD SOFR Swap Tenors and Standard Payment Conventions
Summary
The document discusses liquidity and payment conventions for cleared USD overnight index swaps referencing SOFR. It points readers to market commentary for tenor-level volume information, but does not reproduce those data or identify which maturities are most liquid.
The answer describes the cited standard convention: fixed and floating payments are annual, calculated using an actual-over-360 day-count basis. Swaps with maturities up to and including one year are typically single-coupon, while longer swaps have multiple annual coupons. The answer notes that clients may request different terms from a dealer, and that legacy LIBOR swaps converted through fallback provisions retain their usual quarterly floating and semiannual fixed schedules, with adjusted observation dates. These are convention-level explanations rather than a current liquidity survey; the document gives no direct volume figures and reflects the market context of its cited sources.
Key ideas
- Standard USD SOFR swaps use annual fixed and floating payments under an actual-over-360 day-count convention.
- Maturities of one year or less are typically structured as single-period swaps.
- Longer standard swaps generally have multiple annual payment periods.
- Clients may negotiate conventions that differ from the standard market structure.
- Fallbacks for legacy LIBOR swaps generally preserve their original payment frequencies with observation-date adjustments.
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# Current liquidity of USD OIS-SOFR Swaps
# Current liquidity of USD OIS-SOFR Swaps
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?
## Answer by piterbarg (score 2, accepted)
https://quant.stackexchange.com/a/61880
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 datesShown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)
This summary was written by Stratmill's research agent from the original; it is not a copy of the source.