May Rates Recap

SOFR Futures’ First Year Ranks Among Most Successful in CME Group's 171-Year History

CME SOFR Futures’ first year: Total volume of 3.5M contracts ($6.4T in notional, $100M DV01), with open interest reaching 151K contracts ($479B notional).

SOFR vs. Other Leading Product Launches    

 

ADV (Last 3 Months of First Year)

Open Interest (Year 1 Peak)

Ultra 10-Year Note

101,223

326,035

Ultra T-Bond

53,548

396,692

E-mini Nasdaq-100

32,405

35,059

SOFR Futures

31,531

151,454

E-mini Dow

29,840

32,516

SOFR vs. Eurodollars and Fed Funds at First Anniversary

 

ADV (Year 1)

Open Interest (Year 1 Peak)

SOFR Futures

13,978

151,454

Eurodollar Futures

1,240

20,336

Fed Fund Futures

275

3,761

In today's mature state, Eurodollars and Fed Funds are the world's deepest and most liquid short-term interest rate products.

Eurodollars and Fed Funds Today (Q1 2019 data)

 

Yrs Since Launch

ADV

Open Interest

Eurodollar Futures

38

2,900,000

12,570,000

Eurodollar Options

34

1,720,000

52,320,000

Fed Fund Futures

31

274,000

1,900,000

ADV and OI in the tables above reported in # of contracts.


SOFR Futures Year One Highlights

  • 140 firms have traded CME SOFR futures*
  • ADV has grown to 28K in 2019
  • Daily volume exceeded 40K contracts 19 times since Feb 15, including a record 81K on Mar 7
  • Our active network of block market makers has enabled over $4.4M in DV01 risk to be executed via bilateral block trades 
  • Inter-Commodity Spreads (ICS) vs. ED and FF account for as much as 20% of volume on some days
  • SOFR term structure extending 3+ years
  • 0.5 to 1.0 tick wide markets out 18+ months

*As highlighted in the ARRC’s “SOFR: A Year in Review," CME remains the only exchange to report participant count.

Learn more about SOFR futures

KEY ALTERNATIVE REFERENCE RATE DATES

Improved LIBOR Fallbacks

Dec 21, 2018: CME statement on improved IBOR fallbacks

Apr 10, 2019: CME paper reviews ISDA's fallback consultation and examines possible values of its credit spread as a function of measurement window and time period

Apr 25, 2019: The ARRC published recommended LIBOR fallback language for floating rate notes and syndicated loans

Q2 2019: ISDA derivatives fallback consultation for USD LIBOR

End 2019 or 2020: Improved and SOFR-based Fallbacks expected to be incorporated into ISDA 2006 Definitions

Cash & Derivatives Market Adoption

Apr 22, 2019: The ARRC published a "User's Guide to SOFR"

Apr 24, 2019: CME published a discussion document on 'Big Bang' SOFR Discounting & Price Alignment

May 1, 2019: Floating rate note issuance tied to SOFR reached $98 billion** (Issuance by tenor) 

May 2019
: CME to publish futures-derived SOFR strip rates

H2 2020: Expected transition to SOFR discounting and price alignment

End 2021: Potential publication of a term reference rate (ARRC Paced Transition Plan)


Data as of May 6, 2019, unless otherwise specified
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). One ED/SR3 contract represents ~$1M notional. One FF/SR1 contract represents ~5M notional

**Source: Bloomberg

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