SOFR Futures and Swaps – June 2020

Volumes and Open Interest

In CCPView we can view both volume and open interest by month.

Monthly volume of SOFR Futures & Swaps (usd millions)
  • Showing a marked fall-off in volumes after the record high in March
  • May with total volume of $2.47 trillion (June figures not yet available)
  • CME ETD with $1.96 trillion of SOFR Futures in May
  • ICE Futures with $0.38 trillion
  • LCH SwapClear with $129 billion single-sided Swaps notional
  • CME OTC with $7 billion single-sided Swaps notional
Open Interest of SOFR Futures and Swaps
  • Showing for the first time in 2020 a drop in Open Interest at a month end
  • CME Futures OI at $1.675 trillion at end May, down from $2 trillion
  • LCH SwapClear OI at $570 billion (single-sided) up from $509 billion
  • CME Swaps OI at $86 billion (single-sided), similar to prior month
  • ICE Futures OI at $29 billion, similar to prior month

In summary we had a strong increasing trend in both volume and open interest up to end March, both a Futures roll month and the peak of the Covid-19 Crisis. However April and May have been quiet months with Futures OI down at end May, while Swaps OI still up.

It will be interesting to see what June 2020 volumes show and while we do know that SOFR Futures OI at end June is still similar to end May, we don’t have definitive information on Swaps.

Swaps Trading

In SDRView Res, we can see US persons trading activity, trade counts, notional or dv01, up to June 30th.

Trade counts of SOFR Swaps – Basis and OIS
  • The data here presents a mixed picture
  • Trade counts (shown in the chart) are up to 286 trades in June, compared to 214 in May
  • Notional is down for Cleared (not shown in the chart)
  • DV01 is up for Cleared and significantly so for On SEF

Product wise, we see more OIS trades than Basis but in Notional or DV01 terms the share is pretty even.

In SDRView Pro, we can combine volume, tenor and price views.

SOFR OIS Cleared trades 1-30 June 2020
  • Showing 5Y the most common tenor with trades out to 30Y tenor

Swap Execution Facilities

While On SEF volume remains much less than Off SEF, let’s see which SEFs have volume.

 In SEFView we isolate SOFR vs FedFunds Basis Swaps at D2D SEFs.

SOFR vs FF Basis Swaps notional by SEF
  • Tradition the largest with $28.5 billion YTD
  • TP next with $20.4 billion YTD
  • BGC $2.1 billion and IGDL $610 million
SOFR vs Fixed OIS Swaps
  • Bloomberg the largest with $21.3 billion YTD
  • Tradeweb with $2.7 billion in June (after first showing in April)
  • Ad-hoc volume from the TP, Tradition and BGC

That’s it

That’s all I have time for today.

Clarus Data Products provide insights into SOFR derivatives, both Futures and Swaps.

Each of CCPViewSDRView and SEFView provide details.

Please contact us for more in-depth analysis.

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