Monthly volume: SOFR, ESTR and SARON - July 2021

No change on the EUR side at LCH. The volumes have not really moved in the last 5 months. I could not find volume figures on EUREX site (let me know if those figures are public somehow), so I don't know if a significant part of the volume is now trading at EUREX rather than at LCH.

As mentioned last month, LCH has changed its reporting mechanism and does report only below 2Y numbers and does not split it any more in below 1Y and 1Y to 2Y. This is really unfortunate as the different OIS term rates are in discussion. Those term rates are based on liquid quotes for 1-month, 3-month and 6-month periods. It is of great importance to see the actual liquidity in those buckets. Removing the split is removing a very interesting piece of information in relation to the transition.

On the CHF side, there was a significant increase over July. But it is only a small victory in the sense that it is only the first time that the volume is above the February 2020 volume (18 months ago). Good increase but from stagnating levels over more than a year.


The most interesting case is probably SOFR. Last week was the first week of "SOFR first", i.e. from 26 July 2021 the banks where suppose to quote SOFR swaps as a default and LIBOR only on request.

The results have been mixed. There is certainly an increase of volume on a monthly basis at LCH, by around 20%. The ISDA figures also indicate an increase both in absolute volume and in volume relative to LIBOR.

But on the other side the relative figures are only around 8%. Clarus reported a figure of 12.3%, for my computation I'm using ISDA figures and only outright SOFR figures (not the SOFR basis figures that are probably mostly against LIBOR).

LCH is also now reporting weekly figures. The first SOFR first week certainly is above most of previous weeks, but not the highest of all. The week finishing on 16 July was higher. Is it due to general lower trading activity in the last week of July? The coming weeks will tell us more about it.



In any way, 8% or 12%, the first SOFR first week is far from showing SOFR as the first and main interest rate benchmark. We need to reach above 100% (relative to LIBOR figures) to really call it "SOFR First".

Summary: Progress, but only small progress!

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