Monthly volume for SOFR and ESTR

Monthly review of ESTR and SOFR volumes. Decent progress in SOFR, no progress in ESTR

The notional for ESTR is still below December.

On the SOFR side the LCH volume is at record level. The ISDA figures show a small increase, but nothing really dramatic. In relative terms, SOFR is still only a couple of percent of LIBOR.

Notional outstanding at LCH is LIBOR IRS: 59.2 trn, OIS: 16.4 trn and SOFR: 3.8 trn. Even for OIS, SOFR is still the minority of outstanding volume. Note that this means that there is 12.6 trn of Fed Fund OIS that are discounted at SOFR and hence need a "convexity adjustment" in their valuation and not straight forward use of Fed Fund pseudo-discount factors (see my paper Derivative Pricing with Two Collateral Rates (February 2021, preliminary version) for more details).

For more details about the SOFR related volumes, see the Clarus blog: SOFR Futures and Swaps – Feb 2021.

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