Wednesday 11 January 2023

USD Benchmarks: the winner for 2022 is ... Fed Funds!

For the first post of the new year, we have been looking at the volume traded on LCH for 2022. In notional terms, we get a maybe unexpected benchmark winner: Effective Fed Funds Rates (EFFR). For the last couple of years, the discussion has been all around LIBOR v SOFR but somehow EFFR manage to emerge as the winner. For the year 2022, the results are EFFR 37.6%, SOFR 33.3% and LIBOR 29.2% (we ignored inflation, basis swaps and VNS for the above shares). The weekly figures for the year are provided in Figure 1.

Figure 1: Weekly share by product types at LCH

The figure used are in pure notional terms, not risk/PV01 weighted. On a risk weighted scale, the results would probably be different - the LCH risk weighted figure are not publicly available to our knowledge.

LIBOR trading almost disappeared in last week of the year to show the smallest share ever.

On an outstanding volume, the picture is very different. SOFR has increased on a regular basis and EFFR and LIBOR have trended downward. LIBOR has still the larger share in outstanding volume with around USD 60.4 trn, then comes SOFR with USD 47.7 trn and finally EFFR with 7.6 trn. The graph with the outstanding amounts is provided in Figure 2. (1) There was probably some compression activity close to year end as all outstanding volumes were down. Overall, the outstanding amount for LIBOR has been only done 25% (USD 80 to 60 trn), which sounds like a small decrease giving the expected LIBOR's disappearance in 6 months time.

Figure 2: Outstanding amounts by benchmarks at LCH

Figure 3: Weekly SOFR volume at LCH and as reported by ISDA (US regulatory figures based).

(1) Note that our outstanding amount graphs for EFFR were incorrect in some of our previous blogs. The latest values in each graph was correct but not the past values.

Added 2023-02-01: Following our blog, Clarus publish a complementary blog adding DV01 based figures. The post is available at They confirmed our finding on a pure volume basis. On a DVO1 weighted basis, the picture is very different with SOFR dominating EFFR. Note also that on a DV01 weighted basis, the highest SOFR volume was in March 2022 and the trend has been slightly downward since.