Last week, the LIBOR share at LCH has continued its decrease and is now just above 15%. On the week, the SOFR share has also decrease to 23.5% (from 28.3%). The weekly winner is certainly EFFR with a 56.0% share. See Figure 1 for the history.
Figure 1: Weekly share of product types at LCH
SOFR share is for the second week above LIBOR and one can expect this trend to continue.
On the absolute volume side, SOFR has reach its higher level ever at USD 3,144 bn, just above the record from 3 weeks ago. See Figure 2 for more details.
Figure 2: SOFR volume evolution and share among tenors.
The ISDA reported figures (reported under US regulation) also showed a large relative increase of SOFR with respect to LIBOR (unfortunately, the spreadsheet was not updated on ISDDA Swap Info website). But they do not show the EFFR figures in the same data set. It is difficult to see if the international trend related to EFFR visible at LCH is also true domestically in the US.
What is also interesting is to follow the outstanding amounts. They allow us to see if the LIBOR activity is risk reducing or not. We know that SOFR outstanding amounts are increasing as this is a relatively new benchmark and the BAU level has not been reach yet. What about LIBOR? Do we see a significant decrease? The answer is partly in Figure 3. LIBOR still dominates largely (above USD 80 trn v around USD 25 trn for SOFR). Moreover, even if the outstanding amount has slighlty decrease last week, there is no clear downward trend (even an increase since end of January). But with last week decrease, we may have reached "LIBOR peak"! The coming weeks will tell us if this is the case. On the outstanding amount side, EFFR is also above SOFR.
Figure 3: Outstanding amounts at LCH.