Monthly volume: SOFR, ESTR and SARON - June 2021

This time I have also included the CHF figures. I will start there. The year-to-date (YTD) figures at LCH are LIBOR IRS at 1,670 bn and SARON OIS at 505 bn. LIBOR swaps represent still more than 75% of the notional (we have not included the FRA in the LIBOR part). Unfortunately PV01 figures are not available on LCH site, but one can guess that they would be worst for SARON. From the ISDA Clarus RFR adoption indicator (May 2021 as the June one is not available yet), it seems that globally the portion of SARON is below 15%.

(*) Note that LCH has changed his volume report, with volume below 2Y as one bucket (instead of 2: <1Y and 1Y-2Y) and volume above 5Y as 3 buckets.

In USD, the SOFR usage is increasing steadily but is still at relatively low levels. Over the month of June, 2,179 bn have been cleared at LCH; an increase of 23% form the previous record level in April. But the SOFR figures are still well below the LIBOR or even the Fed Funds levels. YTD, the LIBOR swap level at LCH has been 95,872 bn, the OIS level at 45,328 bn and the SOFR OIS at 8,524 bn. The ISDA figures also show increases, but SOFR outright swaps still represent only 2 to 3% of the LIBOR volumes.

IN EUR, no real change. A small increase in volume, but on a YTD basis ESTR OIS are still less than 10% of OIS, i.e. EONIA OIS are more than 90% of traded OIS. And EURIBOR is not stopping, the EURIBOR IRS representing 80% more volume than OIS.

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