January Rates Recap

Increase in Buyside Participation and Liquidity Result in Third Consecutive Record Year

Interest Rate futures saw a third consecutive record year in 2018, with annual growth of 22% as investors increasingly turn to futures for liquid, capital-efficient, and off-balance-sheet interest rate exposure.

The Central Limit Order Book grew deeper and more resilient. For all Treasury futures, book depth improved across the board while trading at the minimum tick for over 99% of the trading day.

Avg Book Size at Best Bid/Offer Level

 

2018

% Growth vs. 2017

% Growth vs. 2013

2-Year

99,471

156%

283%

5-Year

1,319

52%

64%

10-Year

2,507

52%

109%

Ultra 10-Year

246

78%

Launched in 2016

T-Bond

377

49%

N/A1

Ultra T-Bond

110

57%

104%

Outright front-month only, during regular trading hours (7:00 a.m. to 4:00 p.m. CT) 1CTD, CF and DV01 changed significantly due to jump across the five year gap during roll activity in February 2015.

CFTC Study Showcases Treasury Futures Liquidity* 
In December 2018, the CFTC published a study of U.S. Treasury market liquidity. Among the study's findings, the 10-Year Note futures contract has the largest share of risk transfer (DV01) among the instruments studied, and its share grows during times of higher volatility. During non-U.S. hours, Treasury futures' share of volume increases relative to cash instruments.

Read More

Large open interest holders, a fair proxy for overall market participation among firms holding significant positions, reached a record high of 2,199 per the CFTC’s weekly COT report dated November 20, 2018.

Avg Weekly Large Open Interest Holders

 

2018

% Growth vs. 2017

% Growth vs. 2013

Treasury Futures

1,536

17%

59%

STIR Futures

481

5%

55%


Open interest
grew 20% in 2018, reaching a record 90M contracts on March 15 and again on November 21.
 

Average Daily Open Interest (000s)

 

2018

% Growth vs. 2017

% Growth vs. 2013

Treasury Futures

12,409

27%

113%

Treasury Options

6,635

24%

63%

Eurodollar Futures

14,940

14%

60%

Eurodollar Options

44,285

9%

164%

Fed Fund Futures

1,984

30%

518%

 
Average daily volume reached a record 9.95M contracts/day, +22% vs the previous record set in 2017.
 

Average Daily Volume (000s)

 

2018

% Growth vs. 2017

% Growth vs. 2013

Treasury Futures

4,234

27%

57%

Treasury Options

995

33%

85%

Eurodollar Futures

3,036

19%

48%

Eurodollar Options

1,415

3%

138%

Fed Fund Futures

259

36%

1305%

 

Read our 2018 Liquidity Report


SOFR Futures Trade 1 Million Contracts in Eight Months

Since launching on May 7, 2018, CME SOFR futures have traded 1.1M contracts, representing $2.2T notional, and $32M in DV01 risk transfer.

While it took 120 trading days to reach the first 500K contracts, it took just 38 days for the second 500K as deepening liquidity attracted greater institutional flow into the market: 

  • Open interest jumped 32% in December, reaching a new high of 80K contracts ($233B notional) on December 18
  • Average daily volume surged to a record 15.5K contracts/day in December
  • Blocks/EFRP trades represented 7.4% of volume
  • Global participation surpassed 90 firms
  • Bid/ask spreads increasingly trade at the minimum tick, and the order book is deepening
  • Open interest extends out to Mar 2021, while the SOFR term structure extends out over three years
  • Seamless spread trading against Eurodollar and Fed Fund futures via CME Globex intercommodity spreads
  • Margin savings of up to 80% vs. Eurodollars, 75% vs. Treasuries, and 65% vs. Fed Funds

View SOFR Growth Chart

MPC SONIA Futures Liquidity Drives New CME BoEWatch Tool

The innovative MPC-dated SONIA futures will drive the BoEWatch tool, which uses the design of the widely cited and industry standard FedWatch tool.

CME SONIA futures have traded over 298K contracts since launching in October 2018. MPC SONIA futures are listed through 2019, offering precise hedging for every confirmed BoE MPC meeting in 2019.

CME SONIA Futures

CME BoEWatch Tool

CME FedWatch Tool

Data as of December 31, 2018, unless otherwise specified
Large Open Interest Holders sourced from CFTC’s Traders in Financial Futures Report
Notional shown for illustrative purposes only, computed based on the value of an equivalent money market instrument with the same dollar-value-of-basis-point (DV01).
*Baker, McPhail, and Tuckman (2018), “The Liquidity Hierarchy in the U.S. Treasury Market: Summary Statistics from CBOT Futures and TRACE Bond Data,” Office of the Chief Economist, Commodity Futures Trading Commission.

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