Portfolio margining hits $11B in savings
Industry-wide demand for capital efficiency continues to be fulfilled at CME Group, where a record number of clients are benefitting from our swaps vs. futures portfolio margining program.
This expansion in participation, paired with 45% YoY growth in USD swap avg. daily notional volumes and record trading across futures and options, boosted daily savings above $11B for the first time. This led to a second straight month with avg. savings in excess of $10B.
Curious how your firm could benefit?
Credit futures hit $2 billion
Open interest in Credit futures has crossed the $2 billion notional mark, representing 3X growth in three months and a significant acceleration in institutional confidence.
Key recent developments
- Real-money adoption has quickened, propelling IQB, HYB and DHB into the COT report – the first and only U.S. Credit futures to meet the CFTC’s threshold for inclusion.
- Block trading has increased in frequency and size, complementing robust screen liquidity.
- Duration-Hedged contracts, offering pure credit exposure, have seen outsized growth in volume and open interest.
5-Year Note futures complete first calendar roll at reduced tick
The move to 1/8 ticks in the 5-Year calendar spread yielded positive results during the Jun – Sep roll, with leading buyside clients citing enhanced execution, improved TCA and better fills for larger position sizes.
By the numbers
- 5-Year roll markets were quoted at 1/8 for nearly 100% of the roll.
- The pace was broadly in line with past rolls, with 98% rolled by May 28.
- Average book depth of 190K contracts over the peak roll period.
This represents growth of nearly one million contracts in ADOI year over year, while growth from a percentage look outpaces the trend in overall Treasury futures during the same period.
More in Interest Rates
Dawn of a new Eris: Options launch June 15
Nonlinear hedging strategies are coming to the burgeoning Eris Swap futures ecosystem.
Eris options at a glance
- Monthly expiries
- Deliverable into Eris Swap futures
- Risk profile of OTC swaptions
- Centralized clearing and streamlined reporting
- Dedicated liquidity providers
MPI Modification: SOFR/Fed Funds spread
Beginning June 15, One-Month SOFR (SR1) vs. Fed Fund (ZQ) futures inter-commodity spreads will trade in 0.25 ticks across all contract months.
Rate hike in 2026? Markets think so
With both inflation and jobs data heating up, market expectations for a rate hike by year end jumped to 71% as of June 5, a sharp contrast to the cutting cycle priced earlier in the year.
Traders pile into SOFR futures to manage Fed uncertainty
SR3 positioning as of June 2 CFTC COT report
- Leveraged funds have built their largest-ever net short position.
- Asset managers, net long as recently as April 28, have aggressively added to short positions and are now net short.
- Dealers, warehousing the other side, are record net long.
Data as of June 1, 2026, unless otherwise specified.
View an archive of the Rates Recap online at cmegroup.com/ratesrecap.
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