Where is ESTR? (4)
This is a follow up on previous post on Where is ESTR? , Where is ESTR? (2) , and Where is ESTR? (3) . It has been more than a month that the main CCPs have switch their PAI to ESTR in EUR and it should be the standard now. What do we see in the LCH data? Almost nothing! The monthly volume for ESTR OIS was less than 72 bn (USD equivalent), just above 1/3 of what is was in January and February (see graph below). Not a very positive trend. Figure 1: Monthly ESTR volume at LCH. This means a total volume for ESTR OIS of 705 bn since the start of the year. This is in contrast with the 56 trn in all OIS (EONIA and ESTR). ESTR-linked products are only 1.25% of all overnight-linked products. This lack of volume confirms my previous analysis that the change of collateral rate would have no impact on the market volume. With the fixed spread, there is no more incentive to switch now that there was two months ago. One can easily hedge the new discounting with the old rate, or the old disco