August Rates Recap

SOFR/FF spread trading, expanded participation drive SOFR records

Ahead of FOMC, with basis spreads between SOFR-FF and SOFR-ED moving to increasingly negative levels, SOFR inter-commodity spread (ICS) volume has surged to over 7.5K contracts/day in July (20% of SOFR volume).

CME FedWatch Tool FOMC Target Rate Probabilities

BPS Range

125-150

 150-175

175-200

200-225

225-250 (current)

07/31/19

0.0%

0.0%

21.4%

78.6%

0.0%

09/18/19

0.0%

12.9%

55.7%

31.4%

0.0%

10/30/19

6.0%

33.0%

43.3%

16.6%

0.0%

12/11/19

15.6%

37.0%

34.5%

10.8%

0.0%

Probabilities as of July 26, 2019 at 10:45 a.m. CT

SOFR futures have achieved several other milestones in July, with record participation from buy-side firms and banks, including 20+ new participants:

  • Record OI: 216K ($765B notional), +47% MTD
  • Record ADV: 39K contracts ($105B notional)
  • Record LOIH: 107 in the July 16 CFTC COT report
  • Record day: 86K contracts traded on July 25

Since launch: 180+ global firms have traded 5.4M contracts ($10.9T notional, $157M DV01)

More on SOFR futures


New SOFR compounding calculator

View current 1-Mo, 3-Mo and 6-Mo compounded rates for SOFR and EFFR based on the latest fixings or calculate compounded rates for any custom period.

Check out the compounding calculator

CME SONIA futures lead liquidity development

CME Quarterly IMM SONIA futures were the leading liquidity pool in June, based on volume, with 47% market share:

  • July ADV is on pace for a record at 13K, +44% including a one-day record of 39k vs. previous monthly high
  • Quarterly IMM SONIA contracts are complemented by MPC dated futures which provide exact hedging between Bank of England meeting dates (CME BoEWatch Tool)
  • Automatic margin offsets and spread trading against Eurodollars, Fed Funds and SOFR contracts
  • Aligned with CME GBP/USD Quarterly FX futures (6B)
  • BBG: ONSA Comdty / MPCA Comdty
  • Reuters: 0#SNO: / 0#MPZ:

More on SONIA Futures


CME Publishes Proposal to Facilitate Discussion on SOFR Price Alignment and Discounting


Record Q2 for Ultra 10-Year Treasury Note futures (TN)

  • Record ADV: 235K, +33% YoY
  • Record OI: 778K, +41%
  • Avg top of book: 310, +24%
  • BBG: UXY | Reuters: 0#TN:

With a delivery basket of 9 years and 5 months to 10 years, TN is the most efficient tool for gaining off-balance-sheet 10-year Treasury exposure.

More on Ultra 10


Data as of July 26, 2019, unless otherwise specified
SOFR futures 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).
Acronym legend: Average Daily Volume (ADV), Open Interest (OI), Large Open Interest Holders (LOIH)