USD SOFR Volumes Aug 2019

  • SOFR Swap trade counts hit a new high in August
  • Outrights and Basis both much higher than prior months
  • Outrights are all Off SEF with a significant portion Uncleared
  • Basis are mostly On SEF (by trade count)
  • TP-ICAP with tpSEF and TraditionSEF vying for top spot
  • 5Y is emerging as the most frequently traded tenor
  • We show how Clarus Data Products can be used to analyse SOFR activity

SDRView Email Alerts

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:

SDRView sends email alerts to my inbox every time a SOFR trade is transacted.

Not bad for a simple measure of how trading has picked up.

Monthly Volumes in 2019

Using SDRView Researcher we can can compare August volumes with earlier months.

First, SOFR activity by trade count, split by Outright or Basis trade type:

  • Showing August is by far the highest month
  • With 146 Outright trades, Overnight Index Swaps that reference SOFR
  • And 53 Basis trades, SOFR vs FedFunds
  • July the prior high month with 57 Outrights and 32 Basis

Good to see more frequent trading in SOFR Swaps.

Next, SOFR activity by gross notional, split by Outright or Basis trade type:

  • In this case May is the high month with $44 billion in Outrights and $7 billion in Basis
  • While August has $10 billion in Outrights and $14 billion in Basis

So some way to go for gross notional volumes.

Volumes in August 2019

Using SDRView Professional we can look at the trades in Aug 2019 in more detail.

First the Outright SOFR Swaps.

Outright SOFR Swaps in Aug 2019
  • Showing 146 trades, all Off SEF, of which 105 were Cleared and 41 Uncleared
  • 5Y is the most common tenor with 41 trades and $523 gross notional
  • 5Y price high of 1.414%, a low of 1.013% and a last price on Aug 30 of 1.12%
  • Other tenors with > 10 trades are 18M, 2Y, 3Y and 10Y

As mentioned in my last blog on this topic, we can assume that customer activity is in Outrights and so we would expect at some point this volume will move to Bloomberg and Tradeweb SEFs.

Next Basis Swaps in more detail, both On SEF and Off SEF.

Basis Swaps On SEF in Aug 2019
  • Showing 36 On SEF and Cleared trades
  • 5Y the most common tenor with 10 trades and $880 million notional and a last price of 3.5 bps
  • 1Y and 2Y each with > $2 billion notional
  • 3Y with > $1 billion notional
Basis Swaps Off SEF in Aug 2019
  • Showing 16 trades Off SEF, of which only one is Uncleared
  • 1Y with 6 trades and $2.5 billion notional

I am not sure why the Off SEF notional is higher (just) than On SEF in August, but again would expect this to move to mostly On SEF.

SEF Trading in Aug 2019

Using SEFView we can work out which SEF the SOFR Basis Swaps were executed on.

Lets chart gross notional and trade count.

  • Showing Tullets (tpSEF) the largest with $3.475 billion and 20 trades in the month
  • Tradition next with $2.99 billion and 15 trades in the month
  • IGDL with $250 million and one 2Y trade.

So we are starting to see competition between the D2D SEFs for SOFR Swaps and it will be interesting to see if we end up with similar share to that in USD Libor or not.


Using CCPView, we can isolate global cleared volumes and we have specific view for SOFR Swaps, which I covered in RFR Swaps and Futures Volumes July 2019.

However that data is only published monthly, so while LCH SwapClear seems to have the vast majority of SOFR Swap volume, we we will have to wait a week to see if that was also true in Aug 2019.

That’s it for today.

It will be interesting to see how September volumes develop.

Please contact us for a demo or trial to see yourself.

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