June 2021 Rates Recap

CME selected to administer ARRC's forward-looking SOFR term rate

On May 21, CME Group was selected by the Alternative Reference Rates Committee (ARRC) to publish its recommended forward-looking SOFR term rates, following a robust RFP process.

  • CME forward-looking 1-month, 3-month, and 6-month Term SOFR benchmarks are calculated from CME’s robust and growing SOFR futures market.
  • CME Term SOFR rates are IOSCO and BMR compliant, aligned with ARRC’s principles, and meet client demand for use in the cash and loan market.
  • As the ARRC’s selected provider, CME Term SOFR rates, after the ARRC finalizes endorsement of the term rates, would be used in the ARRC's recommended fallbacks for the multi-trillion dollar cash and loan market. These fallbacks are referenced in LIBOR Discontinuance legislation approved by New York State (ARRC statement) and is now in discussion at the federal level.

BSBY futures coming in Q3, cleared swaps to follow in Q4*

To bring expanded choice and new risk management capabilities to short-term funding markets, CME Group will launch futures and cleared swaps on the Bloomberg Short-Term Bank Yield Index (BSBY) – a forward-looking, credit-sensitive reference rate that tracks the US wholesale unsecured funding market.

Available to trade in Q3*, BSBY futures will offer:

  • An efficient tool for hedging loan exposure, projecting future BSBY resets/cash flows, and reducing income statement volatility.
  • New inter-commodity spreads vs. SOFR, Eurodollars, and Fed Funds for managing basis risk, RV trading, and hedging credit spreads.
  • A price discovery mechanism for building forward curves and hedging OTC swap risk.

*Subject to regulatory review

Mexican F-TIIE futures now trading

Peso-denominated, monthly F-TIIE futures are now trading, bringing efficient price discovery and hedging to the Central Bank of Mexico's overnight F-TIIE rate.

In first week of trading, F-TIIE futures saw multiple participants begin to trade.

CME SOFR volumes rise across the board in May

SOFR futures

  • ADV: 116K contracts, the second highest monthly ADV on record, and the fourth consecutive monthly ADV over 110K
  • OI: 808K contracts, +71% YoY

SOFR swaps

  • Notional Volume: $41B, +19% MoM
  • Notional outstanding: $235B, +14% MoM

Eris SOFR Swap futures

  • ADV: 4K contracts, +4% MoM
  • OI: 6.1K contracts, +16% MoM

SOFR futures now available in portfolio margining

  • SOFR futures went live in portfolio margining on April 26
  • Potential for initial margin savings as high as 92% by offsetting SOFR futures and cleared swaps
  • Seven clearing firms now supporting SOFR futures portfolio margining, generating an additional $67 million in margin savings for firms

TreasuryWatch tool enhanced with new datasets

The CME TreasuryWatch tool, which offers a one-stop shop for analyzing key elements of the US Government bond market, has been upgraded with new datasets and capabilities, including:
  • Expanded FedWatch probabilities
  • Volatility data across the interest rates curve
  • Net Treasury Issuance by quarter
  • Treasury auction historical bid-to-cover ratios

Data as of May 28, 2021, unless otherwise specified