April Rates Recap

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Book Depth and Bid/Ask Spreads Highlight Deepening Liquidity Pool

For all Treasury futures products:

  • In Q1, best bid/ask spreads trade at the minimum price increment for over 99% of the trading day
  • Top of book depth, which represents the accessible size at the best price, improved greatly in 2016 and to an even greater extent in Q1 2017

View Details of Book Depth Growth

Q1-Best Quarter Ever for Rates Volumes

  • Record IR overall ADV of 9.2M, +11% vs the previous record and +22% vs full-year 2016
  • Record IR options ADV of 2.4M, +12% YoY
  • Record Fed Fund futures ADV of 252K, +107% YoY, including a single-day record of 713K on 3/2
  • Record Ultra 10 futures ADV of 103K
  • Record Invoice Spreads ADV of $11B
  • Record electronic Eurodollar options ADV of 432K

More on Volume Growth

Open Interest Hits Record 74 Million

On the heels of 15% growth in 2016, average daily open interest (ADOI) in Interest Rate products increased 13% in Q1, hitting numerous single-day records along the way.

  • Treasury futures ADOI +18% to 9.3M contracts
  • Eurodollar futures ADOI +12% to 12.3M contracts
  • Fed Fund futures ADOI +43% to 1.3M contracts
  • Single-day records in Eurodollars, Fed Funds, 5-Yr, 10-Yr, Ultra 10-Yr and Ultra T-Bond futures

Open Interest Details

Treasury Futures Volume Jumps to 82% of the Underlying Cash Market

In Q1 2017, the notional value of futures volume reached a record 82% of volume in cash Treasury notes and bonds, up from 75% at the end of 2015 and 56% at the end of 2012.

Learn More

Data through March 31, 2017 unless otherwise specified. References to Q1 or March refer to 2017, unless otherwise specified.

Breadth of Participation at All-Time High

The CFTC Commitment of Traders report provides a breakdown of OI in markets with 20 or more positions of a reportable size. In Treasury futures, the reportable size threshold is as high as 2,000 contracts.

The continued expansion of Large Open Interest Holders (LOIH) shows the diversity of participation in Interest Rate futures.

  • In the March 21 report, LOIH in Interest Rate futures reached a new high of 1,834, +11% from the 2016 annual average
  • New highs were also reached in Treasury futures (1,294) and 5-Yr Note futures (313)
  • Ultra 10-Yr futures reached a record high of 66 in the March 14 report

View a Breakdown of Positions by Segment

FACT CHECK: MAC Swap Futures are 76% of USD swap futures daily volume, 83% of global swap futures open interest

MAC Swap Futures offer...

  • Interest rate swap exposure with the capital efficiency and benefits of standardized futures.
  • Five times more OI than any other on-the-run USD swap future
  • Margin offsets of up to 90% versus OTC IRS

See Why Participants Choose MAC Swap Futures

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