Tuesday 31 May 2022

SOFR: significant increase in OTC volume

Last week has seen a significant increase in SOFR OTC volume. At LCH, the volume has been close to 3.7 trn, well above the 3.2 trn from beginning of March. The LIBOR volume has been only slightly below the year average, at 2.7 trn. The EFFR share continues to decline also. The weekly shares are displayed in Figure 1.

Figure 1: Weekly share by product types at LCH

The absolute numbers for the volume at LCH and as reported by ISDA are in Figure 2. The ISDA figures do not show such a large increase. [Note that at the time this post was first published, the ISDA figures for the week ending 27 May were not yet available; comment and graph updated accordingly].

Figure 2: Weekly SOFR volume at LCH and as reported by ISDA (US regulatory figures based).