RFR Swaps and Futures Volumes July 2019

We recently added an RFR view in CCPView to show volumes and open interest of Swaps and Futures that reference risk free rates (RFRs), covering SOFR, SONIA, SARON and AONIA.

Lets look at what the data shows for July 2019 and prior months.

SOFR Futures

SOFR Futures Volumes (notional in usd millions)

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.

SOFR Futures Open Interest (usd millions)

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.

SOFR Swaps

LCH SwapClear SOFR Swap volumes (usd millions)

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.

LCH SwapClear SOFR Swaps Open Interest

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.

LCH SwapClear July Open Interest by tenor

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.

SONIA Futures

SONIA Futures Open Interest (gbp millions)

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.

SONIA Swaps

SONIA Swap volumes at LCH SwapClear (gbp millions)

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.

SARON Swaps

SARON Swap volumes at LCH SwapClear (chf millions)

Showing volume of single-sided gross notional of between CHF 6 billion to CHF 55 billion each month, with May by far the highest.

The End

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.

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