December Rates Recap

Led by elevated activity in the 3-Month contract (SR3), open interest in CME SOFR futures hit a record 708K contracts on Dec. 1, representing 42% growth since Oct. 31.

• Record single-day volume: 240K contracts (11/19), +57% vs. the previous high of 152K
• Record ADV: 86K contracts/day in November, +29% vs. the previous high of 66K
• Record OI: 708K contracts (12/1), +42% vs. 10/31
• Record large OI holders: 170 holders*
• SR3 ADV hit a third straight record month, including record ADV in inter-commodity spreads vs. Eurodollars (track SR3-ED basis spreads).
• Open interest in Reds (second year of SR3) now exceeds 205K contracts, up 6x since August and up 21x since January.

View volume growth chart

CME Group has communicated a detailed plan for implementing improved, strengthened, and standardized SOFR-based fallback procedures for derivatives (Eurodollar futures and options and OTC swaps). ​​​​​

• Eurodollar futures settle against ICE LIBOR.
• Upon a trigger event, CME Group plans to follow the fallback approach described in the Nov. 2019 webinar (watch webinar archive).
• The triggers and fallbacks are expected to be formalized in the coming months through regulatory filings and approvals.

View SOFR-based fallback procedures

• Record ADV: 6.9K contracts ($1.38B notional)
• Record single-day volume of 26K contracts traded on Nov. 25
  
• Record average daily OI: 7.1K contracts
• Over 90 global participants spanning a broad mix of banks, asset managers, hedge funds, and PTFs
• Robust liquidity on outrights and Z0-H1 calendar roll markets
• Increased cash-futures basis trading via EFPs

• Contract enhancements: reduced tick (1/8), new matching algo (FIFO), larger basket (aging 7s)
• Product codes: Bloomberg: 3Y; Globex: Z3N
• Resources: Block market maker list; synthetic price history;​​​ delivery basket

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