October Rates Recap

Rule Update Increases Flexibility for Trading Invoice Spreads

Invoice Swap Spreads using CBOT Treasury futures provide off-balance-sheet and capital-efficient exposure to swap spreads.

Effective October 4, CME Group introduced changes to Rule 538 based on extensive feedback and evaluation, allowing a number of new invoice spread combinations (e.g. calendar rolls and tenor switches) via EFRP.

View Market Regulatory Advisory Notice


Portfolio Margining Expands to Include Ultra 10 and Fed Fund Futures

Recent enhancements to portfolio margining of futures and OTC Cleared Swaps strengthen the margin and capital efficiencies available for client CME interest rate portfolios.

Effective October 3, CME Clearing added Fed Fund futures and Ultra 10-Year futures to the products eligible for portfolio margining.

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BIS Research Confirms Deep Liquidity in CME Eurodollar Futures

The Bank for International Settlements (BIS) recently released a working paper, which discusses “Asset managers, eurodollars and unconventional monetary policy” and states that Asset Managers now play an important role in the transmission of monetary policy, particularly through their large holdings of CME Eurodollar futures.

The paper highlights the ability of Asset Managers to transact more than $1.5 trillion in notional of Eurodollar futures in just a two-week period in September 2014. The research describes Eurodollars as “one of the largest and most liquid fixed income instruments in the world.”

Read "Asset managers, eurodollars and unconventional monetary policy"


*Data through September 30, 2016

Fact Check

MAC Swap Futures are 76% of USD Swap Futures Daily Volume, 73% of Global Swap Futures Open Interest

MAC Swap Futures offer interest rate swap exposure with the capital efficiency and benefits of a standardized futures contract.

With five times more OI than any other on-the-run USD swap future and margin offsets of up to 90% versus OTC IRS, MAC Swap Futures are the leading swap futures that customers use to manage their interest rate exposure.