Obseg terminskih pogodb IR – november 2021

I last looked in detail at IR Futures volume v 2021 februarja, so in this blog I will update the Average Daily Volume (ADV) and Open Interest (OI) of the major IR futures:

• Denarni trg in terminske pogodbe na obveznice
• AUD, BRL, CAD, CHF, EUR, GBP, JPY in USD
• Relativna velikost po ADV in OI na primerljivi nominalni osnovi v dolarjih
• Trends and market share in SOFR and SONIA Futures

MM Terminske pogodbe v glavnih ccys

In CCPView we can select MM Futures in the six major derivative currencies plus BRL and CHF.

• USD at CME the largest with $4.2 trillion ADV from Eurodollar, FedFunds and SOFR
• EUR at ICE, the next largest with $870 billion ADV from Euribor
• GBP na ICE s 430 milijardami dolarjev
• CAD pri TMX z 85 milijardami dolarjev
• AUD na ASX s 60 milijardami dolarjev
• BRL pri B3 s 30 milijardami dolarjev
• CHF pri ICE s 20 milijardami dolarjev
• JPY at TFX with $600 million

USD ADV higher than the $3.6 trillion in Feb-21, while EUR and GBP lower than the $1 trillion and $950 billion respectively in Feb-21.

Next changing to Open Interest and by futures contract within currency.

Ranking each of the 20 contracts by OI:

1. CME Eurodollar the largest with $12.4 trillion
2. CME FedFunds next with $7.1 trillion
3. ICE Euribor 4.9 bilijona dolarjev
4. CME SOFR with $2.5 trillion
5. ICE Short Sterling 2.5 bilijona dolarjev
6. ICE Sonia with $1.6 trillion
7. TMX BAX $970 billion
8. ASX Bank Bill Futures za 750 milijard dolarjev
9. B3 1D IB depozit 435 milijard dolarjev
10. ICE EuroSwiss 220 milijard dolarjev
11. LCH CurveGlobal Sterling with $120 billion
12. ICE SOFR s 107 milijardami dolarjev
13. ASX Cash Future with $80 billion
14. LCH CurveGlobal Sonia with $68 billion
15. TFX Euroyen 64 milijard dolarjev
16. LCH CurveGlobal Euribor with $51 billion
17. CME Sonia with $15.7 billion
18. CME BSBY with $12 billion
19. Eurex Euribor with $5.5 billion
20. TMX CRA with $1.8 billion

Noteworthy changes from our Feb-21 list je:

• CME SOFR has moved above ICE Short Sterling (from 5th to 4th)
• ICE Sonia is now 6th, up from 9th
• ICE SOFR up to 12th
• CME BSBY, a new contract on the Bloomberg Short-term Yield Index, makes an appearance
• TMX CRA, a newish contract on CAD CORRA in 20th
• LCH CurveGlobal is shutting down in Jan 2022

Terminske pogodbe na obveznice v glavnih ccys

Naslednji čez CCPView izberemo terminske pogodbe na obveznice v teh valutah.

• USD at CME, by far the largest with $680 billion ADV in Nov-21
• EUR at EUREX, the next largest with $250 billion ADV
• GBP na ICE s 52 milijardami dolarjev
• JPY at JPX with $37 billion
• AUD na ASX s 20 milijardami dolarjev
• CAD pri TMX z 19 milijardami dolarjev
• CHF at EUREX with $7 million

USD ADV is lower than the $790 billion in Feb-21, as are EUR, GBP, JPY and AUD from $300 billion, $63 billion, $53 billion and £36 billion respectively.

Next changing to Open Interest on November 30, 2021 and by contract.

1. CME T-Note with $1.2 trillion
2. Eurex Bond Futures s 640 milijardami dolarjev
3. CME T-Bond with $250 billion
4. ASX Australian Bonds z 160 milijardami dolarjev
5. JPX JGB s 120 milijardami dolarjev
6. ICE Long Gilt z 105 milijardami dolarjev
7. TMX CGB s 62 milijardami dolarjev

Th exact same ranking as is in our Feb-2021 list and smallish changes in OI, most noteworthy are ASX and JPX down from $200 billion and $160 billion in Feb 2021 respectively and ICE up from $80 billion.

Nato se obrnemo na breztvegane obrestne mere, SOFR in SONIA.

Terminske pogodbe SOFR

• Flat at $270 billion in Apr, May, Jun
• Summer drop in July
• Rising trend from Aug to Nov
• Nov with a record ADV of $455 billion
• CME SOFR with $396 billion ADV
• ICE SOFR with $58 billion ADV

Switching to OI by month.

• April to August decline from $2.1 trillion to $1.5 trillion
• Strong upward trend since with $1.88 trillion in Sep, $2.05 trillion in Oct and $2.65 trillion in Nov
• CME SOFR with OI of $2.54 trillion at end November and ICE SOFR with $107 billion

Only an 18 month period now to June 30, 2023, for CME Eurodollar exposure beyond that date to automatically convert to SOFR Futures with a spread adjustment.

SONIA Futures

• A messy chart, with no real trend
• CurveGlobal shutting down announcement in late Sep, rapidly leading to a collapse in ADV
• ICE SONIA with £135b ADV in Sep, £187b in Oct and £161b in Nov

Switching to OI by month, we do see a nice trend.

• Rising nicely, month on month
• £280 billion in May, £650 billion in Aug and £1.27 trillion in Nov
• ICE with OI of £1.2 trillion
• CurveGlobal still with £50 billion
• CME with £11.5 billion

ICE Sterling and Sonia

Finally, for our last chart, let’s look at OI for ICE Short Sterling and Sonia.

A decrease in Sterling (the Libor contract) and increase in Sonia, as we would expect given the demise of Libor on December 31, 2021.

However perhaps not as much a transition to Sonia Futures as would have been expected by now.

Of-course we know that ICE plans to convert OI in Short Sterling to Sonia following the close of business on 17 December, which is also when LCH SwapClear converts GBP Libor Swaps to Sonia.

A lot of important post-trade conversion work to be done between now and Christmas.

Good luck to all involved for a smooth transition in GBP and CHF.

To je to za danes

CCPView ima podatke o vseh večjih IR Futures.

Dnevni obsegi, odprte obresti in ADV.

Za primerjavo trendov obsega in trendov tržnega deleža.

V številu pogodb, valutah ali dolarjih.

Če vas zanimajo ti podatki, se obrnite na nas

Source: https://www.clarusft.com/ir-futures-volume-nov-2021/?utm_source=rss&utm_medium=rss&utm_campaign=ir-futures-volume-nov-2021