USD SOFR Swaps volumes on the up in Aug 2019

• SOFR Swap trade volumes picked up significantly last week
• Trade counts in one week were half of the combined May and June totals
• Outrights were all executed Off SEF and the majority were cleared
• Basis were all executed on On SEF and were all cleared
• We show how Clarus Data Products can be used to analyse SOFR activity

SOFR Volumes Aug 13, 2019

USD SOFR trading has picked up significantly in August and long gone are the days when I would not receive an email alert for trading activity:

Not bad for a simple measure of how trading has picked up. Now let’s take a look at the underlying data.

SDRView Pro

Last week, Aug 5 to 9 inclusive, we see the following trades reported to US SDRS as in Outright OIS:

• The bottom table shows that 37 trades in outright SOFR OIS were reported in the week.
• This is 50% of the trade we saw in May and June combined
• A cumulative notional of $2.2 billion were reported
• 5Y the most commonly traded tenor with 10 trades and notionals between $2 million to $16 million
• Prices from ranging from a high of 1.301%, a low of 1.17% and last price of 1.23%
• 18M with 7 trades and 3Y with 5 trades were the next largest tenors
• All trades were reported as Off SEF, which explains the large number of corrections, as 55 transactions are shown in the top grid, only for some to be cancelled and replaced, leaving 37 trades.
• (Trading on Sefs, certainly leads to less errors in reporting)
• 33 out of the 37 trades were Cleared

The same screen for activity in SOFR Basis shows the following;

• 17 trades in SOFR Basis, which is again 50% of the volume we saw in the whole of May and June
• 1Y is the most common tenor with 7 trades and $2.4 billion notional
• 5Y next with 6 trades and $455 billion gross notional
• The spread between SOFR and FedFunds varies from 7.25bps at 1Y to 1.75bps at 10Y
• All 17 trades are On SEF and Cleared
• From SEFView we can see that Tradition and Tullets were the two SEFs for these trades.

Based on Outrights as Off SEF and Basis as On SEF, we can assume that currently customer activity is in Outrights and hedging in the dealer market is in Basis.

Sounds logical in the evolution of a new market.

CCPView

We recently added a specific view for SOFR Swaps in CCPView, which I covered in RFR Swaps and Futures Volumes July 2019.

That data is only available monthly, so we will have to wait a few weeks to see global cleared SOFR volumes.