Where is ESTR? (6) Where is SOFR?

 A monthly follow-up on the "Where is ESTR?" posts.  Previous installments are Where is ESTR?, Where is ESTR? (2), Where is ESTR? (3), Where is ESTR? (4) and Where is ESTR? (5).


Increase in the volume, but still below the January and February levels.

With the recent big bang from EFFR to SOFR for collateral (and discounting) at LCH and CME, how is the volume of SOFR related swaps doing?

The volume has been increasing to reach more than 600 billions from a previous maximum of less than 400 billions the previous month. But October was the "big bang" month. Part of that volume may (or may not) be related to the auction and be a one-off increase.

For USD-SOFR, I have also added (weekly) figures from ISDA Swap Info. Those figures are related only to transactions disclosed under US regulation, hence only a very partial (in both sense of the term) view of the figures. We see also an increase of SOFR volume (in yellow), but this has already decreased significantly since the auction week. In term of relative figures, the SOFR related trades are still only a small part (below 2%) of the LIBOR trades. Transition still very much in its infancy, both for EFFR to SOFR and LIBOR to SOFR.

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