In absolute terms, the volumes of LCH cleared SOFR swaps and ISDA reported SOFR derivatives have decrease in week 5 with respect to week 4. The figures are reported in Figure 1 below. This is in a week where interest rate market have seen some volatility that usually is conductive of higher volume. As a comparison, the LCH EUR and GBP volumes have both been more than 50% higher that the average of other weeks this year and the ESTR volume has more than doubled with respect to the previous week.
In relative terms, OIS-EFFR is at 44.8% down from 47.9%, IRS-LIBOR is at 31.2% slightly up from 31.0%, and OIS-SOFR is at 19.7% up from 15.9% (plus some basis, FRA, inflation). The OIS-SOFR share is represented by the yellow curve (right axis). The order EFFR-LIBOR-SOFR has not changed since week 2.
In absolute terms, the outstanding volume for USD-LIBOR-IRS has increased by 1.6 trn, to 81.2 trn from 79.5 trn. The LIBOR activity does not seem to correspond to a volume reduction. Nevertheless, there is the possibility that the new volume corresponds to shorter maturities, e.g. pre-June 2023 matuties, and are reducing the real LIBOR risk but does not lead to an outstanding volume reduction due to the way cancellations happen at CCP. The cancellations (blended coupons) take place only for perfectly date matching swaps, not for matching legs or coupons.
For comparison, we propose the EUR-ESTR volume in Figure 2.
Note the jump in volume over last week. Also of interest is the large short maturities (<2Y) share. A similar effect is not visible in USD-SOFR. Probably due to the large EFFR share in USD which may concentrate a good part of the short term trading activity. Large EFFR activity is also visible in the futures market; the futures activity will be discussed in a forthcoming blog.