September Rates Recap

SOFR options coming January 6, 2020

CME Group will launch options on Three-Month SOFR futures for first trade date January 6, 2020, pending regulatory review.

Building on CME's rapidly growing SOFR futures and deep expertise in listed Interest Rate options, the launch of SOFR options will give clients a holistic solution for managing SOFR price risk across futures, options and cleared swaps.

More on SOFR Options Press Release


Record trading in SOFR futures as OI surpasses $960B notional

Open interest in CME SOFR futures surged to a record 283K contracts ($960B notional) in August, on record ADV of 40K contracts:

  • More than 15 new firms began trading in August, pushing total participation to 195+ firms since launch
  • Inter-commodity spreading (ICS) vs. Eurodollars and Fed Funds continues to grow, with record Globex ADV of 8.2K contracts in August (1.9K vs. ED, 6.3K vs. FF)
  • $141B notional in block/EFRP volume, driven by block ICS
  • Large OI holders hit a record 120 in the August 27 CFTC COT report
  • In the cash market, issuance of SOFR-linked floating-rate notes hit a record $55B notional in August*

Expanded futures listings coming September 30:

  • Three-Month SOFR futures (SR3) listings will be expanded to 10 years (39 quarters)
  • One-Month SOFR futures (SR1) listings will be expanded to 13 months

View SOFR futures growth chart


Introducing CME SOFR Strip Rates

Based on client demand, we’ve launched SOFR Strip Rates, a futures-derived indicative view into forward-looking expectations for overnight Treasury Repo rates as reflected by SOFR.

View SOFR Strip Rates

A busy August for rates markets

Rates volumes spiked to near record levels in August as economic and geopolitical concerns sent volatility higher and global bond yields plummeting:

  • Treasury futures ADV was an all-time record of 6.88M
  • Treasury options open interest hit a record 11.2M
  • Ultra 10 OI hit a new high of 882K contracts

August ADV (000s)

 

 

ADV (000s)

% YoY

Total Rates

 Fut

10,673

+58%

 Opt

3,073

+64%

Eurodollars

 Fut

3,322

+75%

 Opt

1,835

+80%

Treasury

 Fut

6,882

+46%

 Opt

1,237

+46%

Fed Funds

 Fut

407

+156%

YoY compares Aug 2019 to Aug 2018


CME USD IRS Clearing +51%

  • 67% growth in interdealer activity in vanilla IRS
  • Record number of clients leveraging portfolio margining between IRS and IR futures 
  • Convexity bias strategies with ED futures offer up to 90% margin savings
  • Invoice spread strategies cleared at CME offer up to 81% margin savings

CME Updates Proposal on SOFR Price Alignment and Discounting


Data as of August 30, 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).
*Source: Bloomberg