February 2021 Rates Recap

STIR market updates

Eurodollar volumes hit nine-month high

  • Average daily volume (ADV) topped 3.1M contracts/day (2.2M futures, 877K options) in January, the highest since March 2020.
  • Open interest (OI) increased 25% MoM to 40M contracts.
  • 3-Year Mid-Curve options volume surged to a record 313K contracts/day, OI +69% MoM to 4.8M contracts.

SOFR futures volume and OI rise to all-time highs

  • ADV rose to a record 98K contracts/day in January, +48% MoM and +141% YoY (chart).
  • OI increased to a record 723K contracts, +6% MoM and +83% YoY.
  • Inter-commodity spreads (ICS) vs. ED and FF accounted for 12% of volume.
  • Packs and bundles accounted for 8% of volume.
  • Cleared SOFR swaps volume topped $41B notional, the third highest month on record.

Product enhancements implemented on January 25

  • A 6.25 bps strike increment was added to an additional 14 contract months for Eurodollar and 3-Month SOFR options (details).
  • The minimum tick for SONIA futures was reduced to 0.0025 for all contract months, enabling finer price discovery and more cost-effective execution (details).

Treasury market updates

Treasury futures see record inflows

  • UST futures added 1.1M contracts of open interest in January, the largest inflow ever to start the year, closing the month at 12.8M contracts.
  • ADV of 3.85M contracts was the highest non-roll month ADV since March 2020.

UST options volumes highest since March 2020

  • UST options volume surged to over 1M contracts/day in January, +79% vs. the prior six-month average.
  • Block volume jumped to 46K contracts/day, nearly half of which traded during Asian hours.

Recent product records

  • Ultra 10-Year futures: Boosted by a record 131 large position holders*, Ultra 10 OI increased 14% in January to a record 1.14M contracts.
  • 3-Year futures: With 10+ new participants in January (110+ global participants since launch), ADV hit a record 8K contracts in January, +72% MoM.
  • Treasury inter-commodity spreads: Record spread volumes in 2020 (Read our 2020 ICS recap).

Benchmark reform updates

Webinar replay: SOFR-based fallbacks for Eurodollar futures and options

  • Watch the recording of our January 26 webinar for an update on improved SOFR-based fallbacks for Eurodollar futures and options.

Discussion document: Cleared Swaps Considerations for IBOR Fallbacks and Conversion Proposal

  • Market participants have requested CCPs to consider converting existing IBOR swap exposures into new OIS contracts that follow RFR standards, with a cash adjustment to compensate for any changes in valuation.
  • On January 14, CME Group published a discussion document intended to facilitate a more detailed conversation with our customers and corresponding industry groups on this topic.

Discounting and Price Alignment transition: Emerging markets IRS and OTC FX products

  • Timing: Close of business on March 26, 2021, subject to regulatory approval. Testing in new release environment will begin on February 10, 2021.
  • Scope: Mexican TIIE IRS, our six non-deliverable IRS currencies, and USD or EUR-settled OTC FX pairs.
  • Process: CME Group will only conduct a cash adjustment for this transition to compensate for the change in NPV for each swap under SOFR discounting. For avoidance of doubt, CME Group will be forgoing a re-hedging exercise and auction for this transition.

Data as of January 29, 2021, unless otherwise specified
​​*Source: CFTC Commitments of Traders Report