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SOFR Futures and Swaps – Feb 2021




February 2021 was an interesting month in interest rate markets with the volatility in US Treasuries showing up in many products. Today I look at what happened to volumes in derivatives referencing SOFR.

  • Volume and Open Interest in SOFR Futures
  • Volume and OI in SOFR Swaps
  • SOFR Swaps at US SDRs
  • SOFR Swaps on SEFs
  • Clarus Data provides the insight

SOFR Futures

In CCPView we collect data for all major interest rate futures, so let’s start by looking at SOFR futures.

SOFR Futures volumes in usd notional (millions)
  • Jan-21 and Feb-21, were record months with gross notional exceeding $5.5 trillion in each month
  • Volumes trending up from Oct-20 and exceeding the previous record of $5.4 trillion in Mar-20
  • CME the largest with $4.5 trillion volume in Feb-21 for it’s SOFR Futures, (both 1-month and 3-month contracts) and the ERIS Swap Future with $12.9 billion notional, jumping from $4.2 billion in Jan-21
  • CME SOFR Futures with ADV of $237 billion in Feb-21 (19 days), a new record and a record daily high of $378 billion on 25-Feb, with five further days > $300 billion
  • ICE with $1 trillion volume in Feb-21, across both it’s 1-month and 3-month contracts
  • Note CME also has Options in SOFR (not included in the above), trading is not daily but periodic, with volume on one or two days each month, ranging from Oct-20 with $50 million to Dec-20 with $6 billion, so one to keep an eye on for the future.

Next let’s look at the open interest in these Futures.

SOFR Futures Open Interest in usd notional (millions)
  • Trending up from $1.1 trillion in Aug-20 to $1.95 trillion in Feb-21
  • Just shy of the record high of $2 trillion in Apr-20
  • CME the largest with $1.8 trillion OI at end Feb-21
  • ICE with $130 billion OI at end Feb-21

Strong signals in both volume and OI that SOFR Futures are on strong upward trajectory.

Let’s turn next to Swaps.

Global Cleared SOFR Swaps

SOFR Swaps volume (usd millions, single-sided)
  • A sharp jump in Feb-21 to $705 billion a new record, up from $440 billion in Jan-21
  • LCH SwapClear with $655 billion of single-sided notional in Feb-21
  • CME OTC with $50 billion of single-sided notional

Let’s now switch to a breakdown of volume by tenor.

SOFR Swaps volume by tenor (usd millions, single-sided)

We see that >2Y was the largest tenor bucket in Feb-21 with $300 billion.

Next open interest (aka outstanding notional) of SOFR Swaps registered at CCPs.

SOFR Swaps open interest (usd millions, single-sided)
  • A record $2.1 trillion as of end Feb-21
  • A very strong increasing trend from Oct-20 onwards
  • LCH SwapClear now with $1.9 trillion open interest (single-sided)
  • CME OTC with $190 billion open interest (single-sided)

SOFR Swaps at US SDRs

In SDRView Res, we have US persons trading activity, in notional, trade counts or dv01 terms for any day, week or month and a dedicated view to monitor RFR Swaps.

US SDR (DTCC) SOFR Swaps gross notional (billions)
  • Showing a record high in Feb-21 of at least $260 billion
  • At least $160 billion of OIS and $100 billion of Basis
  • I use the qualifier “at least” as we know from SDR public reporting rules that trade notionals above a certain size (calibrated by the CFTC for currency and tenor) are capped to show a maximum size and not the actual notional.
  • If we follow the “rule of thumb” we use for USD Libor swaps of 30% understatement, than the $260 billion would be $340 billion or approximately 50% of the global cleared volume of $705 billion

Switching from notional to dv01, we see that while volumes have increased in the last four months, in risk transacted terms, we are well below the highs we saw in Oct-20 when the auctions at CCPs due to the change from FedFunds to SOFR discounting took place.

US SDR (DTCC) SOFR Swaps dv01 (millions)

In SDRView Professional, we have live intra-day views to monitor SOFR Swaps and looking at 22-Feb, we see 7Y was the most active tenor with OIS and Basis (Libor vs SOFR) the largest risk traded.” class=”glossaryLink ” target=”_blank”>SDRView Professional – SOFR Swaps on 22-Feb

Let’s turn next to here.” class=”glossaryLink ” target=”_blank”>SEF trading.

Swap Execution Facilities (SEFs)

In SEFView we can isolate D2C SEFs.

D2C SEFs SOFR OIS and Basis Swap volumes (usd milions)
  • Material and regular volume from Oct-20 onwards at both Tradeweb and Bloomberg SEFs
  • Though Feb-21 was far from a record month

Turning to D2D SEFs.

D2D SEFs SOFR OIS and Basis Swap volumes (usd milions)
  • A sharp increase from Sep-20 onwards
  • Feb-21 a record high with $70 billion, of which $38 billion was Basis and $32 billion OIS
  • TP with the highest in Basis with $22 billion in Feb-21
  • BGC with $6b in Basis and $21b in OIS, the highest overall in Feb-21
  • Tradition and TP also with OIS volume in the month

Across both D2C and D2D Venues, in Feb-21 we see $39.5 billion of Basis Swaps and $32 billion of OIS, a total of $83 billion reported (or more precisely identified by us from product descriptions published by SEFs that can leave something to be desired…).

In SDRView, the equivalent On SEF volume aggregates to $44.6 billion of Basis and $37 billion of OIS, a total of $81.8 billion.

As SDR volume cannot be higher than SEF (capped notional rules), there is something in-consistent in the OIS data; either we have failed to identify all the SOFR volume from SEF reports or there is in-consistency in reporting between SEFs and SDRs. A topic that we will dig deeper into and update this blog when we do.

For now what is important is that while” class=”glossaryLink ” target=”_blank”>SEFView and On SEF from SDR show the above figures for SEF volumes, we see in SDRView much higher volumes for Off SEF; $55 billion for Basis and $120 billion for OIS.

Anyone ready and willing to make a MAT determination for SOFR Swaps?

That’s It

That’s all I have time for today.

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

Each of CCPViewSDRView and SEFView provide important insights.

If you don’t already subscribe to these, please contact us.

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Zip Co raises $400 million for international expansion




Zip Co (ASX: Z1P) has priced $400 million of senior convertible notes to fund expansion into new regions on the back of major growth in the US.

Co-founder and COO Peter Gray says the move will keep shareholders happy, with the notes set to mature in 2028.

“We are very pleased with the strong global demand for this offering,” says Gray.

“This transaction further diversifies Zip’s sources of capital and allows us to pursue our global growth aspirations while reducing potential dilution of existing shareholders. Another fantastic outcome for Zip and its shareholders.”

The $400 million in convertible notes mirrors the approach recently taken by buy-now pay-later (BNPL) competitor Afterpay (ASX: APT).

However, Zip’s latest raise doesn’t come close to the whopping $1.5 billion secured by Afterpay’s settlement of convertible notes due in 2026.

The offering is being marketed to eligible investors and the notes are set to be listed on the official list of the Singapore Securities Trading exchange. Settlement is expected on or about 23 April 2021.

To read more, please click on the link below…

Source: Zip Co raises $400 million for international expansion

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FinSS and Salt Edge partner for CDR Compliance solution in Australia




Australia is at the forefront of giving consumers greater control over their data via Customer Data Right (CDR). With phase two of the regulatory adoption quickly approaching, Australian data holders are welcoming a new CDR Compliance solution on the market. The technology solutions expert FinSS Global joined forces with Salt Edge, a leader in developing open banking compliance products, to enable local data holders to meet all the strict CDR requirements within less than 2 months.

As the Australian Government is committed to enforcing the regulatory adoption by the market, with the financial sector being the first one, institutions are now racing to become CDR compliant in 2021. That’s why FinSS Global and Salt Edge are aiming to help banks, credit unions, building societies, EMIs, neobanks, and other financial institutions follow strict regulations while protecting customers’ data and privacy under open banking.

The CDR Compliance solution has a holistic approach and is made up of components and configuration items such as an API for sharing consumer data together with a sandbox for ADRs’ testing, a Consent Management API to assure end-customers’ full visibility and control over their granted contents, a dashboard for the data holder to have full control and access to insightful statistics, an ADR Developer Portal for seamless integration and interaction with bank’s channel, a Multi-factor authentication solution for end-customers’ security, ADR verification, and much more.

The solution is based on a SaaS model which makes it easily deployable and also reduces the amount of technical implication and skills required from data holders. Salt Edge handles all the maintenance, regular updates according to new changes in the CDS requirements, and even assists with passing the Conformance Test Suite (CTS).

Open banking represents just the first phase of Australia’s strategy in making the sharing of any kind of customer data easier. That’s why the CDR Compliance solution is flexible and can be tailored so that it fits any industry or business case requirements including the addition of payment initiation possibilities.

Dallas Newton, CEO and Co-Founder at FinSS Global, said, “We partnered with Salt Edge in 2020 because we believed their experience with PSD2 in the UK and Europe and some of their solutions could be of significant benefit to the smaller Australia Financial Institutions looking for help in their CDR Compliance journey and participation in the emerging CDR Ecosystem. This resulted in us working closely with Salt Edge to adapt their SaaS-based PSD2 “Compliance in a Box” solution for the small to medium banking domain in Australia and our launch of the CDR Compliance Solution. We are excited to be working with Salt Edge and reach our target market, and we look forward to leveraging a functional, secure, cost-effective, hosted solution to rapidly have data holders join the CDR Ecosystem.

Lisa Gutu, Head of Business at Salt Edge, commented, “While helping out businesses across the globe to set their strategy in leveraging open banking, we understood that all of it might often seem like a regulatory and technological burden for institutions. That’s why together with FinSS Global, we’re committed to guiding Australian financial institutions towards a seamless CDR compliance journey.”

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What happened to reduce RFR trading?




  • March 2021 saw 8.8% of all derivatives risk traded versus an RFR.
  • This reduced from the previous levels around 10%.
  • The pre-cessation announcements last month do not appear to have accelerated RFR Adoption.
  • There was an increase in the amount of IBOR-related activity last month.
  • Overall for Q1 2021, the total amount of RFR activity was about the same as Q1 2020.
  • We also take a look at CCP conversion plans, Open Interest and Client activity.

The latest ISDA-Clarus RFR Adoption Indicator has just been published for March 2021. It saw a decrease to 8.8%, somewhat lower than the ~10% level that it has hovered around for the past 3 months.

  • The overall Adoption Indicator was at 8.8%, lower than the 10.0-10.6% readings of the prior three months.
  • There were declines in the adoption of RFRs in each of the six currencies that we monitor.
  • USD SOFR trading declined to 4.7% from 5.1% of the total.
  • GBP SONIA trading declined from 45.8% to 44.9%. At least this has remained at relatively high levels.
  • CHF and JPY (SARON and TONA RFRs) saw just 6.4% and 2.4% of overall Rates risk traded as RFRs.

LIBOR Risk Traded

With the pre-cessation announcement last month, this blog expected a speeding-up of RFR Adoption to show in the data. Instead, we saw an increase in LIBOR and other indices traded. March 2021 saw the largest DV01 and largest notional traded in ‘IBOR type products since last March:

DV01 of IBOR-linked products:

And notional of IBOR-linked products:

It is worth noting that March 2021 is an This blog looks at IMM dates in detail.” class=”glossaryLink ” target=”_blank”>IMM month, therefore associated with the rolling of contracts from March to June (or further out). When we look at other IMM months in our time-series, we do not typically associate these with an increase in the amount of IBOR-linked activity (despite the roll) or with a decrease in RFR activity.

RFR Risk Traded

All of this increase in IBOR products was set against a decrease in DV01 traded of RFR-linked products last month:

At least the total amount of RFR risk in Q1 2021 was almost the same as Q1 2020 (within 2%).

For RFR-specific markets, we saw:

  • A near-record amount of SOFR DV01 transacted at $954m. This was up by 6% compared to last month and only bettered by the “big bang” month of October 2020.
  • A record amount of futures (ETD) RFR risk traded. It was over $1bn DV01 for the second month running (across all currencies).

LIBOR Open Interest

Recall that the RFR Adoption Indicator monitors new trading activity in the month. You can read about the full Indicator construction in the white paper here. Therefore it is worth checking how open interest at CCPs has developed recently in IBOR-linked products. With a quarter-end included, we are used to seeing a reduction in notional outstanding:


  • Oh dear, notional outstanding of IBOR-linked products now stands at roughly $160 TRILLION.
  • This is higher than year end 2020, and roughly the same as the $161-163Trn we saw in the same weeks last year.

There was part of me that hoped the increase in IBOR-linked activity we saw last month was due to risk-offsetting trades in LIBOR, that would result in reduced open interest once compression had taken effect.

Unfortunately, the data does not back this up. It looks like much of the IBOR activity was new trade activity, not risk-reducing activity related to legacy positions.

Where is the Client RFR risk?

Looking at the Open Interest in OIS we have seen a reduction in Client-related open interest in OIS across the six currencies:

And across all of the RFRs, there has been a reduction in Open Interest in Swaps whilst Open Interest in Futures has stayed constant:

CCP Conversion Plans

LCH has recently announced that any outstanding LIBOR trades (excluding USD) will be converted later this year to vanilla RFR trades (plus historic spreads as calibrated by ISDA). This means that the trades will not use the ISDA Fallbacks.

From their most recent circular, the applicable dates for RFR conversion of existing LIBOR trades are:

  • 3rd December for CHF and JPY.
  • 17th December for GBP.


  • Conversion will not be free. I assume to encourage market participants to voluntarily convert ahead of time, there will be a fee applied. The fees have not yet been made public.
  • From 30th September, there will also be a monthly fee of £5 per contract applied to all outstanding CHF, GBP and JPY LIBOR contracts.

Full details are here. CME have also just published a proposal today, that includes the very same dates.

I do not know how significant the fees will be at LCH or whether other CCPs will also charge.

However, given the data for March, is there an argument to be made that bilateral LIBOR risk will find its way into clearing to access these conversion services? A back-to-back LIBOR in bilateral space versus LIBOR in clearing would at least move the LIBOR conversion into vanilla RFR products. However, we will also see changes in IM etc associated with this.

One to keep an eye on in the data…..

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Local trading app Superhero says it’s no Robinhood clone




Millennial-focused share trading platform Superhero says it’s not a clone of the popular but controversial US app Robinhood, insisting it is subject to far more stringent regulation than its overseas peer.

Superhero, which launched in September last year, has secured $25 million in funding from billionaire Alex Waislitz’s Thorney Investment Group, Phil King’s Regal Funds Management, Afterpay co-founder Nick Molnar, Zip co-founder Larry Diamond and Finder co-founder Fred Schebesta.

The latest funding round values the fledgling startup at more than $100 million and Superhero, just like Robinhood, is tapping into the surge in retail investors into the market, which fuelled the GameStop short selling frenzy in the United States.

Robinhood played a key part in helping Reddit posters buy GameStop stock, driving up its price, but then controversially moved to restrict their purchase to contain market volatility. With the episode highlighting the power trading apps can exert in distorting the financial markets, Superhero’s co-founder and chief executive John Winters said while the platform was built to remove barriers to sharemarket investing it wasn’t looking to be a clone of Robinhood.

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