- Open Interest in both Futures and Swaps is increasing
- Record volumes in recent months
- Volumes by CCP or SEF
- Basis and OIS Swap products
- Clarus Data Products provide insights
Monthly Volumes in 2020
In CCPView we can view both volume and open interest by month.
- 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
- 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.
- 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.
Swap Execution Facilities
In SEFView we see the volumes of SOFR vs FedFunds Basis Swaps at D2D SEF venues.
- Tradition the largest with $24.5 billion in the four-month period
- TP next with $13.5 billion
- IGDL and BGC with some volume
- 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.