Lets look at what the data shows for July 2019 and prior months.
Showing July 2019 a new high at CME with $2.25 trillion of notional volume and ICE with $620 billion, for a total of $2.9 trillion. So excellent growth in volumes and to put this in context CME FedFunds Futures were $49.5 trillion in July and CME EuroDollar $56.3 trillion.
Showing monthly OI growth over the past 12 months, with jumps in Dec-18, Feb-19, May-19 and the largest in Jul-19 to end at $781 billion at CME and $46 billion at ICE, a total of $827 billion. The steep jump in July is a great indicator for future growth and will be interesting to see how OI develops over the next few months.
As a comparison CME FedFunds has an OI of $11.5 trillion at end July and CME EuroDollar has $13.3 trillion.
Single-sided gross notional of SOFR swaps cleared at LCH SwapClear with May and July the peak months, with $91 billion and $87 billion respectively.
Single-sided gross notional of open interest in SOFR swaps cleared at LCH SwapClear with a big jump in May and then flat at $121 billion.
Focusing on July open interest and switching to a tenor view, we see that < 1Y maturity is the vast majority at $90 billion, 1-2Y is $13.3 billion and 2+ Yr is $18 billion.
In our recent article SOFR Swaps in June 2019 we also covered trade level data using our SDRView product. I am not going to go into that level of detail for this month, but if you are interested in this detail, please sign-up for an SDRView trial to create those views.
Steady monthly growth in OI YTD with ICE Futures the largest with £106.7 billion at end July, followed by CurveGlobal (LCH) with £30.6 billion and CME with £15.8 billion.
Showing volume of single-sided gross notional of between £1.65 trillion to £2.35 trillion each month, with the vast majority below two years and with tenors out to fifty years.
Showing volume of single-sided gross notional of between CHF 6 billion to CHF 55 billion each month, with May by far the highest.
That’s all I have time today.
There is a lot more data in CCPView.
Different ways to slice and dice RFR Swaps and Futures.
Please contact us for a demo or trial to see yourself.