We continue our review of USD market volumes with STIR futures (CME volumes).
The one line summary is: LIBOR unchanged; SOFR gaining traction but still far from LIBOR.
The figures for week 5 are (with last week in parentheses) LIBOR-3M 68.1% (69.3%), SOFR-3M 20.5% (19.6%), EFFR-1M 9.8% (10.1%), SOFR-1M 1.4% (1.0%), and BSBY-3M 0.1% (less than 0.1%). The daily figures up to yesterday 8 February are reported in Figure 1.
Figure 1: STIR futures daily volume at CME.
The trend observed this year are still there: very gradual reduction of LIBOR, significant gains in SOFR and gains in Fed Funds. BSBY remains very marginal.
If we exclude the LIBOR part, we have the picture displayed in Figure 2. Clear increase of volume for SOFR and EFFR. SOFR dominates that space but in an "unfair" competition contest. EFFR is only 1-month futures and limited to contract up to one-year expiries; SOFR has 1-month and 3-month futures and extends up to 6-year expiries.
Figure 2: STIR futures daily volume excluding LIBOR futures.
The Open Interest (OI) picture, provided in Figure 3, confirms that analysis. Since the 31 December 2021, the LIBOR futures are almost unchanged in OI (-1.9%). The ED volume is not "risk reduction" only. The SOFR-3M futures OI has increased by 77%, SOFR-1M by 42% and EFFR by 29%. In the graph, we have indicated the 31 December OI with the dotted lines for LIBOR and SOFR-3M. The BSBY OI has increased significantly on a relative basis, by 35%, but from a very low starting figure and is still very marginal.
Figure 3: STIR futures Open Interest.