IR Futures – ADVs and OI in major currencies

We look at recent Average Daily Volume (ADV) and Open Interest (OI) of the major IR futures:

  • Money Market and Bond Futures
  • AUD, BRL, CAD, CHF, EUR, GBP, JPY and USD
  • Relative size by ADV and OI on a comparable dollar notional basis
  • Trends and market share in SOFR, SONIA and GBP Libor

MM Futures in major ccys

In CCPView we select MM Futures in the six major derivative currencies plus BRL and CHF.

ADV in Feb-21 of MM Futures (usd millions)
  • USD at CME the largest with $3.6 trillion ADV in Feb-21, from Eurodollar, FedFunds and SOFR
  • EUR at ICE, the next largest with $1 trillion ADV from Euribor
  • GBP at ICE & LCH, not far behind with $950 billion ADV in Feb-21
  • CAD at TMX with $90 billion
  • AUD at ASX with $70 billion
  • BRL at B3 with $35 billion
  • CHF at ICE with $30 billion
  • JPY at TFX with $2 billion

And changing to Open Interest and by futures contract within currency.

Open Interest Feb-21 of MM Futures (usd millions)
  • CME Eurodollar by far the largest with $11.3 trillion
  • CME FedFunds with $5.9 trillion
  • ICE Euribor $4.3 trillion
  • ICE Short Sterling $3.2 trillion
  • CME SOFR $1.8 trillion
  • TMX BAX $1.2 trillion
  • ASX Bank Bill Futures $700 billion
  • B3 1D IB Deposit $450 billion
  • ICE Sonia $290 billion
  • ICE EuroSwiss $270 billion
  • TFX Euroyen $210 billion
  • CurveGlobal Sterling $200 billion

Bond Futures in major ccys

Next in CCPView we select bond futures in these currencies.

ADV in Feb-21 of Bond Futures (usd millions)
  • USD at CME, by far the largest with $790 billion ADV in Feb-21
  • EUR at Eurex, the next largest with $300 billion ADV
  • GBP at ICE with $63 billion
  • JPY at JPX with $53 billion
  • AUD at ASX with $36 billion
  • CAD at TMX with $22 billion

And changing to Open Interest.

Open Interest Feb-21 of Bond Futures (usd millions)
  • CME T-Note and T-Bond with $1.5 trillion OI
  • Eurex Bond Futures with $680 billion
  • ASX Australian Bonds with $200 billion
  • JPX JGB with $160 billion
  • ICE Long Gilt with $80 billion
  • TMX CGB with $66 billion

Let’s next turn to Risk Free Rates, SOFR and SONIA.

SOFR Futures

ADV in SOFR Futures in usd millions (up to 19-Mar-21)
  • Steadily increasing ADV from $190 billon to $290 billion
  • CME SOFR with $240 billion ADV (over the first 3-weeks in March)
  • ICE SOFR with $50 billion
  • CME SOFR ADV share increasing from 60% to 83% over the period
  • ICE SOFR ADV share dropping from 40% to 17%
  • While in OI terms CME share is 93% and ICE 7%

SONIA Futures

ADV in SONIA Futures in gbp millions (up to 19-Mar-21)
  • Steadily increasing ADV and a sharp jump in Feb-21 (market volatility)
  • ICE SONIA with £124 billion ADV (over the first 3-weeks in March)
  • CurveGlobal SONIA with £12.9 billion ADV
  • CME SONIA with £9.5 billion
  • ICE ADV share ranging from 72% to 88% over the period
  • CME ADV a high of 25% in Sep-20 and 7% in Mar-21
  • CurveGlobal up from 2% in Sep-20, a high of 20% in Jan-21 and 9% in Mar-21
  • (See CurveGlobal 12-month trading fee waiver from Oct-20)
  • The current OI share is ICE 81%, CurveGlobal 11% and CME 8%

Sterling Libor Futures

Finally lets see what impact the CurveGlobal trading fee waiver is having in sterling Libor.

ADV in Sterling Futures in gbp millions (up to 19-Mar-21)
  • Flat ADV up to Jan-21 but then a big jump in Feb-21 (market volatility)
  • ADV in Mar-21 at £380 billion more than double the Sonia ADV
  • ICE SONIA with £364 billion ADV (over the first 3-weeks in March)
  • CurveGlobal SONIA with £22 billion ADV
  • CurveGlobal ADV share a high of 9% in Jan-21 and now 5.7%
  • So the trading fee waiver having a significant impact here too
  • ICE with a high of 99.6% ADV share and now 94.3%
  • Current OI share is ICE 93.6%, CurveGlobal 6.4%

That’s It

CCPView has data on all major IR Futures.

Daily Volumes, Open Interest and ADVs.

To compare volume trends and market share trends.

In number of contracts, currency or dollar terms.

As we near the end of Libor.

The SOFR and SONIA contracts are ones to keep a close eye on.

If you are interested in this data, please contact us

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