Clarus Financial Technology

SOFR Futures are now bigger than Eurodollars

The ISDA-Clarus RFR Adoption Indicator for July 2022 has now been published.

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  1. SOFR adoption increased to a new record at 51.7%.
  2. GBP and CHF continue to see nearly 100% of risk traded as RFRs.
  3. 20.3% of EUR risk was versus €STR.
  4. July 2022 saw $29.5Bn of DV01 traded across all Rates products, some 25% lower than last month.
  5. See my “Summer Lull” blog for other data points regarding subdued trading activity last month.

For today’s blog, I noticed that we haven’t yet taken a detailed look at what is happening in USD futures. We put that right below.

More SOFR Futures traded than Eurodollars in July

The most significant milestone we can highlight is that the notional equivalent amount of SOFR futures trading now surpasses the equivalent in Eurodollar contracts. Remember that I am often shocked just how large the Eurodollar market is, so this is really quite some achievement:

Digging a bit deeper into the data;

Fed Funds Futures still trade

For the purposes of our RFR Adoption Indicator, we look at all other indices trading that are not RFRs. The most significant outside of IBORs is undoubtedly Fed Funds. And we continue to see significant volumes trading in Fed Funds futures, particularly with central banks so active in raising rates:

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More “Other Rates” Traded than SOFR in July

Putting this into context, across all USD STIR futures:

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Currency Perspective

As I said, it always strikes me how large the Eurodollar/USD STIR market is. It is therefore “fun” to plot the relative volumes by currency of all STIR contracts traded:

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Long term, I think it remains to be seen what the balance between SOFR and Fed Funds activity will be like.

And finally, in Q4 this year we are likely to have a new RFR future to monitor. This time in EUR, with CME announcing the upcoming launch of €STR futures:

Stay tuned to the Clarus blog as we continue to monitor the data.

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