June Rates Recap

Rates Open Interest Quadruples Since 2013 to Surpass 100 Million Contracts

Open interest has surged over the last six years as global participants increasingly turn to futures for liquid, capital-efficient, and off-balance-sheet interest rate exposure. Client-driven enhancements are delivering greater total cost savings and capital efficiencies, helping to more than double buyside participation since 2013.

  • The 2-Year Note tick cut in 2019 has improved cost of trading by as much as 36%, and volume has grown 39% vs. 2018 (Treasury futures complex +10% during the same period)
  • Ultra 10, launched in 2016 to pinpoint 10-year Treasury exposure, has grown to 220K in ADV YTD with OI reaching a record 778K
  • Invoice Spreads ADV has grown to 122K YTD ($17B notional) following rule clarification in Oct ’16 and enhanced electronic entry
  • Portfolio margining between futures & cleared OTC delivers $4.2B in daily margin savings for clients
  • Additional Eurodollar and Treasury options listings offer expirations from weekly to over 3 years, expanding the streaming and RFQ-driven CLOB
  • CME’s global electronic infrastructure and network of clearing members enable nearly 24-hour liquidity
  • Robust suite of analytic tools including CME FedWatch and OI Heatmap provide actionable insights

ADV is also on a record pace of over 10.6M YTD, +7% vs. 2018's record ADV of 9.95M and +80% vs. 2013.

  ADV Open Interest
  2019 YTD % vs. '13 2019 as of 5/31 % vs. '13
Eurodollar Futures 2,890,696 +41% 13,124,415 +65%
Eurodollar Options 1,748,165 +194% 64,421,790 +562%
Fed Fund Futures 310,035 +1580% 2,547,743 +469%
Treasury Futures 4,582,583 +70% 15,253,723 +198%
Treasury Options 1,023,269 +90% 6,829,388 +194%
Total Rates 10,600,447 +80% 102,609,309 +300%

2019 YTD as of 5/31. 2013 open interest as of 1/2/13

SOFR Futures Open Interest Hits New High

CME SOFR futures volume averaged 32K contracts/day in May, a 41% increase MoM and the second highest monthly ADV yet. 

  • Open interest grew 34% to a record 167K contracts ($522B notional**) 
  • Global participation surpassed 150 participants
  • Inter-Commodity Spreads (ICS) vs. Eurodollars and Fed Funds grew to a record 2.6K contracts/day
  • Floating-rate note issuance reached a monthly high of 17.5B in May, pushing cumulative issuance to $112B*** from 23 institutions
  • ISDA consultations from May 16 indicate inclusion of SOFR-based fallbacks by end of 2019 or 2020
  • ARRC has now published recommended LIBOR fallback language for floating rate notes, syndicated loans, bilateral business loans and securitizations
  • CME is consulting clients on adoption of SOFR for PA/discounting of all cleared OTC swaps

More on SOFR Futures

Steady Growth for CME SONIA Futures

CME SONIA futures averaged 9K contracts/day in May and open interest reached a new high.

Over 29K contracts traded on May 2 in conjunction with the BoE's Monetary Policy Committee (MPC) meeting. MPC SONIA futures, which offer more precise risk management around MPC meetings, had their most active month since launch.

More on SONIA Futures

CME BoEWatch Tool


Data as of May 31, 2019, unless otherwise specified
*Cost savings based on analysis conducted using the CME Liquidity Tool
**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).
***Source: Bloomberg