LIBOR swaps were converted to SOFR last Friday (2023-05-19 after EOD). The amount outstanding before conversion was around 48 trn, this Friday (2023-05-26) the amount outstanding was down to 15 trn.
Even after conversion, there is still a non-negligible amount outstanding. This is coming from the LIBOR swaps that have still a fixing between the conversion and the last LIBOR representative fixing (2023-06-30). Most of the USD LIBOR swaps are based on USD-LIBOR-3M, with one month to go it is not surprising that around one third of the LIBOR swaps (15 out of 48) still have a representative fixing.
On the OIS side, the notional outstanding increased from 76 to 114 trillions. For OTC products, we don’t see the same offset as in futures that we described in US - Eurodollar futures a USD 8 million rounding error. There is no exact netting as it is same conventions for SOFR vanilla swaps (annual/annual money market) and the converted LIBOR swaps (semi-bond / quarterly money market). Maybe some compression run will reduce the outstanding notional.
The total for IRS plus OIS increased from 124 trn to 129 trn, probably due to the split of former IRS into the LIBOR part and the SOFR part.
Note that over the week, there were still 62 bn IRS and 48 bn FRAs traded. On the IRS side, it is not clear if it is the result of swaption exercise or maybe some BSBY swaps. For the FRA, we don’t have a direct explanation. On the FRA side, not that there is still 376 bn outstanding (unchanged with respect to last week).