September Rates Recap

SONIA Futures Launch October 1, 2018*

CME will launch SONIA futures: a Quarterly IMM SONIA contract observing the recommended specifications of the Working Group on Sterling Risk Free Reference Rate; and an innovative MPC SONIA contract based on the meeting dates of the Bank of England’s Monetary Policy Committee (MPC) to provide greater precision in hedging between the dates of Central Bank policy meetings.

Why Trade CME SONIA Futures
  • Compounding of final settlement in both contracts aligns with OTC OIS swap conventions
  • Spread trading and day-one margin offsets against SOFR, Eurodollar and Fed Fund futures
  • Complementary to CME quarterly FX futures
  • Benefit from CME Group’s unparalleled electronic distribution and network of FCM/ISV partners

Learn about SONIA Futures

SOFR Building Momentum

In 83 trading days:

  • $105B in notional open interest (30,181 contracts)
  • $711B in cumulative notional volume (278K contracts)
  • ADV reached 6K contracts/day in August 
  • Over 70 global participants
  • Term structure extends out over 3 years

S&P Global Ratings designated SOFR as an “anchor money market reference rate” and SOFR-based debt continues to grow

  • July 25: Fannie Mae issued the first floating rate notes worth $6B
  • August 14: World Bank priced the first SOFR bond, raising $1.4B from 27 investors
  • August 20: Credit Suisse sold a $100M six-month SOFR-based certificate of deposit
  • August 24: Barclays issued the first commercial paper tied to SOFR with $525M in short-term debt issuance
  • August 30: Metlife issued a $1B two-year floating-rate note – the first SOFR-based bond from a non-SSA issuer

More on SOFR

Liquidity, Off-Balance-Sheet Exposure, Drive Records in Treasury Futures

The aggregate number of large participants in Treasury futures reached a record 1,593 in the CFTC's COT report dated August 21, 2018, up from 1,350 a year ago. New highs were reached in TY (462), TU (356) and TN (111) in August 2018.

Open interest in Treasury futures reached a record 13.7M contracts on August 28, representing 33% growth YoY. TY (4.2M), FV (4.4M), TN (644K) and UB (1.1M) all reached new highs in August 2018.

Read our H1 Liquidity Report

*Pending regulatory review
Data through August 31, 2018, unless otherwise specified. 
Unless otherwise specified, all dates and months referenced are for 2018

Rates Research from Our Economists

End-Game for Shrinking the Fed’s Balance Sheet 
Blu Putnam

How long will it take for the Fed to shrink its balance sheet to a sustainable level? Growth in the Fed’s liabilities could be a constraint, making the central bank's reduced demand for Treasury securities short-lived.

Read more

Fed's Fork in the Road: Even Higher Rates or Pause 
Erik Norland and Blu Putnam

Will the Fed raise rates seven more times through 2020? Our base case scenario is for just two more due to record-high debt and the risk of a recession.

Read more

Hedging U.S. Equities with Treasury Options
Erik Norland

Equities might be in the late stage of a nine-year bull run, and with rising rates and a possible recession, the risks to being long-only stocks is growing. U.S. Treasuries often exhibit a negative correlation with equity index futures.

Read more

CME FedWatch Rate Hike Probabilities as of Sep 4



200 bps


225 bps


250 bps













CME FedWatch

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