Drawing on extensive activity in inter-commodity spreads (ICS) vs. Eurodollars and Fed Funds, SOFR futures again proved to be an additive tool for managing exposure to short-term funding markets.
In March, with ICE Libor-OIS and SOFR-EFFR spreads widening to multi-year highs, daily volume in SOFR-based ICS jumped to over 34K contracts per day, representing over $1.35M in DV01 risk transfer per day. (view ICS chart)
SR3-ED spreads, a liquid proxy for trading the ICE Libor-SOFR spread, jumped to 58.5 bps
While credit risk exposure has traditionally been captured by spreading swaps vs. cash Treasuries, the rise of Invoice Swap Spreads in recent years gives clients a more efficient alternative for trading swap spreads.
Trading volume has grown to 165K contracts ($23B notional) per day YTD, +45% vs. 2019 and +246% vs. 5 years ago.
Trading Invoice Spreads:
ADV (record): 13.8M contracts
Avg. Daily OI: 88M contracts
|MAC & Eris Swap||Fut||12K|
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Data as of March 31, 2020, unless otherwise specified