SOFR Futures and Swaps – May 2020

Monthly Volumes in 2020

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

Monthly Volume of SOFR Futures & Swaps
  • CME ETD with $5.2 trillion of Futures volume in Mar-20, a record high (cf. $4.4 trillion in Sep-19)
  • ICE Futures with $690 billion in Feb-20, not far off its record high of $810 billion in Aug-19
  • LCH SwapClear with $150 billion of Swaps (single-sided) in Feb-20, also a record high (cf. $120b in Nov-19)
  • CME OTC with with $60 billion of Swaps (single-sided) in Mar-20, a record high (cf. $32 billion in Feb-20)
  • Apr-20 a much quieter month for Swaps and Futures but still substantially higher than Apr-19
Open interest of SOFR Futures and Swaps
  • CME Futures OI at $2 trillion at end Apr-20
  • LCH SwapClear OI at $500 billion (single-sided) at end Apr-20
  • CME Swaps OI at $86 billion (single-sided) at end Apr-20
  • ICE Futures OI at $28 billion at end Apr-20

Continued increases in volume and open interest for both Futures and Swaps, though in the context of the record volumes in many markets (see Swaps Data: Record Trading Volumes in March), nothing exceptional in SOFR growth compared to IBOR.

Swaps Trading

In SDRView Res, we can see US persons trading activity, trade counts, notional or dv01.

Trade counts of SOFR Swaps (Basis or OIS)
  • Increasing trade counts from 258 in Jan-20 to 406 in Mar-20
  • Note the May count of 165 is up to May 22, 2020 (inclusive)
  • The majority are Cleared Off SEF (74%)
  • Cleared On SEF (14%) and UnCleared Off SEF (12%) are similar
  • While in Dv01 terms, this changes to 64%, 28%, 8% respectively.

Product wise, we see more OIS trades (71%) vs Basis (29%) but in Notional or DV01 terms the split is 50%.

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

SOFR OIS Cleared trades 1-May to 22-May 2020

Swap Execution Facilities

In SEFView we see the volumes of SOFR vs FedFunds Basis Swaps at D2D SEF venues.

SOFR vs FF Basis Swaps Notional by SEF
  • Tradition the largest with $24.5 billion in the four-month period
  • TP next with $13.5 billion
  • IGDL and BGC with some volume
SOFR vs Fixed OIS Swaps
  • Bloomberg the largest with $21 billion over the period
  • And for the first time in March we see the D2D SEFs, TP and Tradition with volume in OIS SOFR
  • But tiny overall volume in the month of April

That’s it

That’s all I have time for today.

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

Today I took a quick look at each of CCPView, SDRView and SEFView.

Please contact us for more depth and detail.

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