2 thoughts on “Swaps Data: SOFR Swaps slip, Futures flip

  1. Subsequent to my article LCH SwapClear published monthly volumes for SOFR swaps and these show Feb-19 volume of $29 billion, up from $13 billion from Jan-19. So far higher than the $3 billion and $6 billion I show from US SDR data! A fact which decimates the headline and finding in the article for Swaps.
    What explains the difference? My guess would be this is due to one or more of the following three causes. Firstly that this cleared volume is not subject to trade reporting to US SDRs as it does not involve US persons as parties to the trade. Secondly the US SDR data is not correct as reporting parties have not reported these trades correctly or the public dissemination has failed to disclose correctly. Thirdly capped rules in SDR public dissemination understate true the notional, but evidence shows that is no more than 30% for IRS, so the $3b might be $4b at best.
    So much for the data, we will continue to track both SDR, CCP & SEF volumes to see how SOFR Swap volumes develop.

  2. A further comment here, the volumes we generally use are single-counted (so before novation into clearing) while LCH use post-novation volumes (double-counted), which means that the $6 billion we show from US SDRs in Jan-19 is the same as the $13 billion that LCH show, however the $3.2 billion in US SDRs for Feb-19 should be compared to half of $29.2 billion at LCH, or $14.6 billion, meaning that we have a $11.4 billion discrepancy, due to one of the reasons in the previous comment.

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