April Rates Recap

4 Apr 2018
By CME Group
Topics: Interest Rates

SOFR Futures Launch May 7

Based on extensive customer input, monthly and quarterly futures contracts on the Secured Overnight Financing Rate (SOFR) will launch on May 7, pending regulatory review.

Contract listings will comprise the nearest 7 calendar months for 1-Month futures and the nearest 20 March quarterly months for 3-Month futures.

The 1-Month SOFR futures strip will prove useful to market participants who seek finer granularity in framing market expectations of future SOFR values over the nearby 1-month to 7-month interval during which the front 3-Month contract becomes more set each day from daily SOFR fixings.

View contracts specs & new educational resources

Whitepaper: What is SOFR?

Gain insight into the Secured Overnight Financing Rate (SOFR) with our latest whitepaper, covering:

SOFR background and composition
Comparing 1-Month SOFR to 1-Month EFFR
Comparing 3-Month SOFR to 3-month OIS and USD LIBOR
The details of SOFR futures and examples of hedging or spreading applications

Read the whitepaper

Eurodollar vs Fed Fund futures Intercommodity Spreads Set the Stage for SOFR ICS

Eurodollar versus Fed Fund futures Intercommodity Spreads (ICS) have seen consistent streaming liquidity and increased trading since launched March 12.

Offers simple execution of a common trading strategy, reducing leg risk on executions and enabling formation of spread liquidity
ICS on SOFR will be available May 7, pending regulatory review, including SR1 v SR3, SR1 v FF, SR3 v ED and SR3 v FF
New STIR spread analytics tool

SOFR Spreads Whitepaper | Product Overview

Data through March 29, 2018, unless otherwise specified. *Reported as a 52-week moving average as of 3/14/18 with cash volumes sourced from NY FRB data. **Large OI Holders sourced from CFTC COT report.

Treasury Futures Volume Surpasses 100% of the Underlying Cash Market

Treasury futures notional volume as a percent of cash Treasury notes and bonds reached a record 100.6%* in Q1 2018, up from 56% in 2012, as investors increasingly turn to futures for liquid, capital-efficient, off-balance-sheet Treasury exposure.

Q1 2018 Treasury Records

Futures ADV of 4.5M
Futures OI of 12.6M
1,540 Large OI holders on 2/20**
Options ADV of 1M
Options OI of 9.8M

Eurodollars Liquidity Pool Deepens to New Record

Broad participation and deep, consistent liquidity extend Eurodollars combined notional OI to $68T.

Q1 2018 Eurodollar Records

Futures ADV of 4M
Futures OI of 17.8M
Options ADV of 2M
Options OI of 52M

Record Participation in Fed Fund futures

Q1 2018 Records

ADV of 283K
OI of 2.47M
175 Large OI holders on 2/27**

Q1 Liquidity Update

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