1) Reduced tick size to 1/8 of 1/32 (from 1/4 of 1/32).
2) New matching algorithm of 100% FIFO for outrights (from 40% FIFO/60% Pro-Rata). Calendar spreads will remain 20% FIFO/80% Pro-Rata.
3) A more robust deliverable basket through the addition of aging 7-year notes with remaining term to maturity that ranges from 2 years, 9 months to 3 years.
Much has changed since 3-Year futures launched in 2009:
In a new research paper, we analyze futures market liquidity during the largest spike in volatility since the financial crisis, exploring cost-to-trade relative to the daily range and volume for a more holistic assessment.
Our findings show that economic risks caused by virus concerns reduced order book depth but relative cost to trade actually declined when compared to the expansion in daily trading ranges.
Selected in 2017 as the ARRC's preferred alternative reference rate, SOFR debuted April 3, 2018 followed by CME SOFR futures a month later.
Here's a look at how things are progressing for the young benchmark:
Listed derivatives
SOFR futures |
Year 1 |
Year 2 |
Global participants |
140 |
425 |
Avg. Daily Volume |
14K |
43K |
Avg. Daily OI |
56K |
365K |
Peak OI |
151K |
612K |
Large OI Holders |
69 |
161 |
% of SOFR traded via ICS vs. ED or FF |
4% |
32% |
Cleared OTC derivatives
Cash markets
Data as of April 30, 2020, unless otherwise specified
*Source: Bloomberg