- USD Rates Overview: USD Rates markets experienced record-breaking activity in 2024, with notional volumes exceeding $1 quadrillion for the second time.
- D2D SEFs Performance: ICAP led trade volumes in Spreadovers and Curve trading, with Tradition leading the way in Butterflies and CCP switches.
- Cleared USD Rates Expansion: Cleared volumes of OIS hit an all-time high, with LCH SwapClear maintaining a dominant 98% market share.
Cleared USD Rates
We start with looking at notional volume cleared in OIS referencing either Fed Funds or SOFR indices.
- 2024 with $264 trillion is up 11%, compared to $237 trillion in 2023
- LCH SwapClear with $258 trillion in 2024 and $232 trillion in 2023
- CME OTC with $5.65 trillion in 2024 and $5.36 trillion in 2023
- 2024 Share is LCH 97.9% and CME 2.1%, compared to 97.7% and 2.3% in 2023
2024 volume of $264 trillion is a new all time high (across both OIS and Swaps), exceeding the previous high set last year. All of that volatility over the Summer and the election drove volumes higher. Can we really expect the same in 2025?
D2D SEF Volumes in SOFR Swaps
Using SDRView we show a chart and table of trade counts for 2024, for spot starting USD SOFR Swaps that are On SEF and the SEFs are D2D. The table columns are the Platform Id of the SEF and table rows are package types (as identified by Clarus).
- Spreadovers are by far the most common type with 32,238 trades
- The ICAP venues (ISWE, ISWV) with 13,880 trades represent 43% share
- The BGC venues (BGCD, BGCO, GSEF) with 7,178 trades represents 22% share
- Tradition (TSEF) 14%, Tullet (TPSE) is 12% and Dealerweb (DWSF) is 7%
- RTX, a new SEF, with 379 trades and 1% share
- Butterflys, shown above as Butterfly or SpreadFly with 15,183 trades
- (Note this is a package adjusted count, so as there are 3 trade legs for each butterfly in SDR data, a total of 45,000+, we adjust this to the 15,183 butterfly packages traded)
- Dealerweb with 8,781 trades, from Sweep, it’s session based platform, has 58% share
- Tradition with 3,823 trades out of the 6,402 not on Dealerweb, has 60%
- Curve Switches, shown above as SpreadCurve and Curve combine to 6,294 trades
- (Note this is also package adjusted, so 2 trade legs and 12,588 transactions in SDR data)
- ICAP with 2,141 represents 34% share
- BGC 21%, Tradition 21%, Tullet 14%, Dealerweb 9%
- RTX with 112 trades, 2%
- CCPSwitch, with 738 trades
- Tradition with 469 or 64% and ICAP with 155 or 21%
Next, instead of trade count, we can change the above table to show DV01 (package adjusted).
- Spreadovers with > $1.57 billion of DV01
- (recall that SDR capped notional rules, means this figure is under-stated, possibly by up to 30%)
- Re-calculating the shares above in DV01 terms shows a few small differences
- Spreadovers, ICAP with 43%, BGC 23%
- Butterflys, Dealerweb 38% and excluding this Tradition 63%
- Curves, ICAP 34%, Tradition 22%, BGC 20%, Tullet 13%
- CCPSwitch, Tradition 68%, ICAP 17%
DV01 has the advantage as it is a better proxy to the brokerage revenue earned and share of wallet.
Global USD Rates Volumes
The chart below is from CCPView, showing notional volumes for the past three years:
- Annual volumes in notional equivalents across all USD rates products – covering Bonds (US Treasuries), ETD (bond futures) and OTC (interest rate swaps and OIS). I exclude SOFR STIRs.
- 2024 recorded all time record volumes in USD Rates.
- It is only the second time that over $1 quadrillion equivalent has ever traded in USD Rates.
- Exchange Traded products (ETDs i.e. the Bond Futures at CME) are the largest with 55% of volumes traded.
- However, ETDs did not make record volumes in 2024, and their total share of the market dropped from 59% in 2023.
- Swaps (mainly at LCH SwapClear) were the second largest, hitting all time records and maintaining a 24% share of trading.
- Finally, cash Bond trading (USTs) made up 20% of activity, higher than 17% in 2023.
- Overall, it looks like there was a small preference to move trading from bond futures to cash bonds during 2024.
Average Maturities
We can calculate the average maturity (notional weighted) per market:
Showing;
- A tight range of average maturities from 6.6 to 7.84 years.
- There are hardly any significant changes year-on-year.
- The data excludes anything less than 2 year in maturity because there are no short-dated bond futures or cash bonds to compare swaps against. The natural comparison in the short-end would be swaps versus SOFR futures. Maybe that is the topic of a whole new blog!
- If we had to pull out any trends, the chart suggests that;
- Bonds traded longer maturities in 2024 than 2023.
- ETDs have got longer each year. I think this is probably as increased trading in “Ultra” contracts moves the effective maturities closer to the benchmark periods.
- Swaps have become shorter.
- However, these differences are only small.
In Summary
- All-Time High in USD Rates Volumes: 2024 recorded unprecedented volumes, driven by strong performances in OTC Swaps and cash bond trading.
- D2D SEF Market Trends: Spreadovers remained the most traded package type, with ICAP maintaining a 43% DV01 share.
- Cleared OIS Volumes Growth: Cleared USD OIS notional volumes grew by 11% year-on-year to $264 trillion, reflecting market volatility in the Summer and subsequent U.S. election.
- Stable Average Maturities: Despite minor shifts, the average maturities across Bonds, ETDs, and Swaps remained within a tight range.