Wednesday, 20 July 2022

LIBOR, EFFR and SOFR still playing yo-yo!

USD-LIBOR trading should have stopped more than 6 month ago, but in the market figures there is still large activity around it. From week to week, the dominant benchmark in the USD derivative market change from LIBOR to SOFR to EFFR. Last week the winner was EFFR, the week before it was SOFR and another week before is was LIBOR.

Figure 1: Weekly share by product types at LCH

We are still far away from a all-in in SOFR; maybe we will never go there!

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