October Rates Recap

Over $200M in OTC SOFR Swaps Cleared in First Week

Cleared OTC SOFR swaps, launched on Oct 1 with SOFR discounting and price alignment, saw five major participants clear over $200M notional during the first week. View our press release to see what clients had to say.

  • Builds on the growing liquidity of SOFR futures to offer clients the only holistic solution for trading SOFR
  • SOFR OIS and basis swaps against LIBOR and Fed Funds, all with a maximum maturity of 30 years
  • Portfolio margining alongside our 24 currencies of IRS and Eurodollar, Fed Funds, and Treasury futures

More on Our SOFR Swaps Offering

SOFR Futures Surpass $1 Trillion in Notional Volume

CME SOFR futures are developing rapidly, providing increased price discovery along the SOFR interest rate curve. In the five months since launch (May 7 - Oct 5):

  • Open interest: 35.7K contracts ($137B notional)
  • Total volume: 402K contracts ($1T notional, $12.6M DV01) – View latest trade data
  • Record daily volume of 15.2K contracts on Oct 3
  • 75+ global participants, with growing buyside activity
  • Increased block activity - view block market makers
  • Open interest extending out to Dec 2020

The SOFR ecosystem continues to expand with five floating rate notes issued over the last 20 days, bringing cumulative issuance to $10.9B notional. ​​​​​

Additional Ecosystem Developments

CME SONIA Futures See Week 1 Volume of 15,000 contracts

SONIA futures launched Oct 1, bringing CME Group's leading innovation and efficiency to the overnight sterling market.

  • Week 1 volume of 14,960 contracts, including 11.3K contracts traded between Oct 3 and 4
  • Over 7.4K contracts traded on Oct 9
  • Markets are trading between 0.5 and 1 basis points wide across the front four expiries in both the MPC and Quarterly IMM contracts.
  • Bloomberg codes: ONS and MPC
  • Trade with precision around BOE Monetary Policy Committee meetings with MPC SONIA futures
  • Enjoy margin offsets with other STIR futures, including up to 50% offsets against Eurodollar futures

View Specs, Vendor Codes, Margins and More

Data as of October 5, 2018, unless otherwise specified
References to YTD are as of September 28, 2018
All dates and months referenced are for 2018, unless otherwise specified.

Options Market Update

  • Treasury options ADV: 919K YTD, +21% YoY with 83% traded electronically
  • A record 2.6M Treasury options traded on Oct 4
  • Eurodollar options ADV: 1.4M YTD, with large block activity in September - Get Block Alerts
  • Wed Weeklies ADV: 31K in Sep, +68% YoY
  • Fri Weeklies ADV: 197K in Sep, +23% YoY 
  • OI is over 3M in Long Green Eurodollar options
  • Following the expiration of Dec Mid-Curves, Jan 2019 Term Mid-Curves will offer shorter dated options on the Dec 2019 ED future

Asset Managers Increase Long Positions in Treasury Futures

The CFTC's Commitments of Traders Report shows record long positioning by asset managers in 2-Year Note and Ultra Bond Treasury futures as of Oct 2. Long positions in 5-Year and 10-Year Note futures were just shy of record highs reported the week earlier.

Commitments of Traders Tool

Interest Rate Futures Volume +19% YoY in 2018

Through the first three quarters of 2018, CME Group's Interest Rate futures averaged 7.2M contracts per day, equaling $393M in daily DV01 risk transfer, +19% YoY.

(DV01 millions)
% YoY
 FF $10.04 15%
 ED $74.66 14%
 2-Yr $18.08 38%
 5-Yr $47.38 20%
 10-Yr $122.17 17%
 Ultra 10 $18.33 67%
 T-Bond $58.38 20%
 Ultra Bond $43.40 37%

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