New year, but no new impetus in SOFR and ESTR

Monthly review of ESTR and SOFR volumes. Both are a little bit underwhelming with no new height in volume for either of them.

The notional for ESTR is down more than 20% with respect to December. The January 2021 volume is barely above January 2020 (less than 15% increase). ESTR OISs are less than 5% of EONIA OISs. Less than one year to go to adulthood for ESTR, but still barely a toddler. This is not due to a general shift to EUREX as the figure there for December 2020 are around 95 bn EUR (see Practice Insight article, subscription required), which is roughly 40% of the ESTR market.

On the SOFR side the LCH volume is up from December (+16%) but down from November (-11%). The ISDA figures show a similar "not increasing" picture with SOFR outrights representing well below 2% of USD-LIBOR.

The CHF story does not represent a better picture. SARON OIS volume is around 17% of CHF-LIBOR IRS and even as low as 11% if we include FRA on the CHF-LIBOR side.

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