Monthly volume for SOFR and ESTR: May
Monthly review of ESTR and SOFR volumes. No progress in SOFR, no progress in ESTR. In May, the LCH SOFR volumes are barely above 70% of the April's ones. In volume, SOFR swaps are still below 3% of LIBOR swaps according to ISDA figures. With the decision by CCPs to steer away from ISDA's fallback and convert LIBOR swaps to OIS with spread, one could argue that LIBOR swaps and SOFR-OIS are the same products. Nevertheless given the uncertainty on the exact conversion mechanism and the non-fungibility due to spreads, I would be very reluctant to trade LIBOR swaps at this stage. Clearly the market majority disagrees with me and thus I'm wrong (but I don't know why)! EONIA is disappearing at the end of the year, in seven months, and the bulk of the OIS is still EONIA-linked.