July Rates Recap

SOFR Futures Continue to Develop

  • 70K contracts traded since May 7 launch
  • A record 5,043 contracts traded on June 29
  • First block trade on July 9, a 4,000 contract strip
  • Increased spread trading between 1-Month SOFR and Fed Funds (SR1/ZQ)
  • Open interest steadily climbing, reaching 12.7K contracts
  • IR term structure with tight quotes out to 2020

Quarter-End Dynamics for SOFR Futures

  • Heightened levels and volatility in US Treasury repo rates at month-ends and quarter-ends are long familiar to money market practitioners
  • The behavior of SOFR during the last half of June 2018 was no exception, seeing a temporary 22-basis-point increase up to 2.12 pct on June 29 (the quarter’s last business day)
  • Importantly, the contract market performed remarkably in absorbing and reflecting the impact of SOFR’s quarter-end volatility
  • Read our full assessment

The Bill Issuance Effect on SOFR/Repo:

  • Net bill issuance of $333B in Q1 2018 is attributed by some to creating upward pressure on short-term rates
  • Daily SOFR higher than EFFR on most days since April
  • Will bill issuance continue to support this trend?
  • Will greater demand to lend repo put downward pressure on SOFR?

Term Mid-Curves Bring Greater Short-Term Flexibility to the Eurodollar Curve

3-month, 6-month and 9-month Eurodollar Mid-Curve options offer short-dated 1-3 month options on white quarterly Eurodollar futures.

  • 21,000 contracts traded since June 11 launch
  • Open interest of 20,800 contracts

Product Details


Eris Swap Futures Coming to CME Group

In 4Q 2018 pending regulatory approval, all USD Eris Standard contracts will trade as CME Group products subject to rules and regulations of CBOT.

  • Eris swap futures will trade alongside MAC Swap futures, bringing together the two leading interest rate swap futures products onto a single exchange venue to provide market participants with greater capital efficiencies
  • Eris swap futures will commence trading on CME Globex and will be available to all existing CME Group clients through CME Direct and third-party front-end platforms

Eris to CME Transition Plan


Data through June 29, 2018, unless otherwise specified.
*According to CME FedWatch as of July 5, 2018

With Risk to Manage, Rate Futures Set Record H1 2018 Pace

With two rate hikes in H1 2018 (and a 51% probability of two more in H2 2018*), a flattening of the yield curve, increased equity market vol, eurozone uncertainties, and ongoing global trade concerns, there was no shortage of drama in the first half of 2018. With risk to manage, deep and consistent liquidity in CME's Interest Rate futures and options shined.

  • Open interest in rates grew to a record 91M contracts
  • Large open interest holders in rate futures reached a record 2,138
  • A record 8M futures contracts traded daily ($438B DV01)
  • A record 2.6M options contracts traded daily
  • The CLOB grew deeper and more resilient

Average Daily Volume (in 000s) for Interest Rate Futures

 

H1 2018

2017

% Change

ZQ

280

191

47%

GE

3,391

2,549

33%

ZT

555

387

43%

ZF

1,150

902

27%

ZN

1,847

1,495

24%

TN

192

117

64%

ZB

362

292

24%

UB

181

134

35%

Invoice Spreads Volume +40% in 2018

Underpinned by the capital efficiencies of margin savings of up to 80%, the Invoice Spreads market (cleared swap versus CBOT Treasury futures contract) grew to 95,000 contracts/day in H1, $11B notional per day.

More on Invoice Spreads

Ultra 10 Reaches New Milestones

  • Over 500 global participants
  • H1 ADV: 192K, +64% vs 2017
  • H1 Average OI: 549K, +41%
  • Record 101 large OI holders

More on Ultra 10

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