April 2021 Rates Recap

SOFR futures see record activity in Q1 as participant pool deepens

Trading volume in CME SOFR futures rose to 112K contracts ($232 billion in representative notional*) per day in Q1 2021, representing a 61% increase QoQ and a 98% increase YoY.

  • With liquidity extending across time zones, ADV during non-US hours surged 172% QoQ to over 20K contracts.
  • Open interest hit multiple highs throughout the quarter, reaching 765K contracts on Mar. 1.
  • Large holders of open interest in SOFR futures grew to a record 196**.
  • Participation deepened to 550+ global participants.
Source: CME Group

Treasury futures activity soars, Ultra 10's outsized growth continues

Q1 2021 highlights:

  • Treasury futures ADV +50% QoQ to 5.2M contracts, the second highest quarterly ADV ever.
  • Treasury futures OI +16% YTD to 13.6M contracts, with large open interest holders +12% to 1,536**.
  • Ultra 10-Year futures saw record quarterly ADV of 412K contracts while OI surged 39% YTD to a record 1.4M contracts on Mar. 31.
  • 3-Year futures saw record quarterly ADV of 9,065 contracts and record OI of 15.7K contracts as participation expanded to 130+ global participants.
  • Invoice spreads ADV +107% QoQ to 131K contracts.
  • Inter-commodity-spreads ADV +65% QoQ to 31K spreads (130K contracts) per day.
  • Treasury options ADV +67% QoQ to 1.1M contracts, with OI hitting a 10-month high of 7.5M contracts on Mar. 25.
  • Options volumes were especially strong during non-US hours with overnight ADV +86% QoQ to 262K contracts.

Growing support for portfolio margining of Eurodollar options

  • Bank of America, Credit Suisse, and J.P. Morgan now live to support customer optimization of ED options in portfolio margining.
  • Seven clearing firms now utilizing portfolio margining with ED options, generating an additional $800 million in margin savings for firms.
  • Potential for initial margin savings as high as 83% by offsetting ED options and cleared swaps, and total offsets reaching up to 100% driven by positive net option value.
  • On average, clients save 50% in initial margin by offsetting their futures and options portfolio with cleared swaps.

From the Research desk

The Trillion Dollar Helicopter

Read how the Treasury's planned ~$1 trillion TGA drawdown could impact short-end rates and repo.

Understanding Volatility in Price and Yield Terms

Learn about CME Group's Treasury CVOL Indexes, which are offered in both yield and price volatility formats.

Treasury Cash Market Penetration Methodology

Methodology is shifting from Primary Dealer to TRACE data for analyzing the ratio of notional-weighted trade activity in futures compared to underlying cash market volumes.

Data as of March 31, 2021, 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: March 30, 2021 CFTC Commitments of Traders Report