Friday, 30 December 2022

LIBOR transition: approaching year end

We are approaching year end. One last "weekly" review before the yearly review next week. We have not been fully consistent with our weekly updates recently, but to our defense, there have not been huge changes in the weekly patterns.

The share between LIBOR, EFFR and SOFR are changing every week, but none of them is reaching 50%. So no real LIBOR, EFFR or SOFR first. The LIBOR share is decreasing but still significant.

Figure 1: Weekly share by product types at LCH

The LCH figures and ISDA figures (based on US regulatory filling) are saying basically the same thing. The trend is in the increase of SOFR and decrease of LIBOR, but it is not a smooth trend. No major change in the last 9 months.

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

From an outstanding notional point of view, LIBOR is decreasing, SOFR is strongly increasing and EFFR is slightly increasing. We are still more than 10 trillions away from SOFR First.

Figure 3: Outstanding amounts by benchmarks at LCH