September Rates Recap

Register for ARRC-Secured Overnight Financing Rate (SOFR) Webinar

Join CME Group for a market-wide webinar on Wednesday, October 4 at 10:00 a.m. ET to learn about:

  • Futures and options contracts on the ARRC-endorsed Secured Overnight Funding Rate (SOFR)
  • Trading opportunities and margin efficiencies of SOFR futures with Eurodollar and Fed Fund futures

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What's Next for LIBOR and Eurodollar Futures?

When considering the importance of the recent ARRC and FCA announcements, keep these key points in mind:

  • There is no set end date for LIBOR publication
  • We expect that continued IBA LIBOR reforms and the role of USD LIBOR in $170 trillion assets will lead the industry to continue publishing LIBOR beyond 2021.
  • CME has been investigating the creation of futures and options on Treasury repo indices since 2013
  • The designated alternate reference rate, SOFR, is financially distinct but correlated with LIBOR and the Fed Fund Effective Rate
  • We expect the new futures to complement Eurodollar and Fed Fund futures, providing:
    • Enhanced risk management tools through additional instruments
    • Capital efficiencies through margin offsets
    • Execution efficiencies through Intercommodity Spreads (ICS) on CME Globex

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Ultra 10 Achieves New OI, Volume and LOIH Records

  • Open interest reached a record 461K contracts on Aug 28
  • Average daily volume increased 79% to 146K, including a daily record of 464K on Aug 25
  • Large open interest holders reached an all-time high of 68 in the CFTC's Aug 22 report
  • Avg top of book of 147 contracts over the last 3 months, from ~90 in Q1

Product Details

Data through August 31, 2017 unless otherwise specified.

Treasury Futures Liquidity Reaches New Highs

The trends identified in our 2016 whitepaper, The New Treasury Market Paradigm, continue to gain momentum amid record and growing liquidity in Treasury futures and options.

  • Notional volume in Treasury futures reached a record 86.4% of volume in cash Treasury notes and bonds 
  • Asset Manager participation in Treasury futures has grown 74% since 2013
  • Record futures open interest of 10.7M on Aug 28
  • Record 1,350 Large Open Interest Holders as of Aug 22
  • Book depth has increased at best/bid offer and at the top three bid/offer levels across all Treasury futures

Read our H1 Liquidity Update

Interest Rate Options Update

  • Electronic Eurodollar options ADV +89% YoY to 402K (40% of total volume
  • Electronic Treasury options ADV +79% YoY to 613K (78% of total volume)
  • Open interest in Treasury options reached a record 7.2M on Aug 24

Manage event risk with Weekly Treasury options

  • Wednesday options ADV grew to 16.6K in Aug, including a record 60K contracts on Tues, Aug 29 following the latest events in North Korea
  • Friday options averaged 280K contracts/day on Non-Farm payroll days YTD in 2017, +111% vs YTD ADV of 132K

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