August 2021 Rates Recap

ARRC formally recommends CME Term SOFR

On July 29, the Alternative Reference Rates Committee (ARRC) announced its formal recommendation of CME Term SOFR Rates for use based on their previously outlined.

As previously communicated, CME Group is aligned with the ARRC's recently published best practices and we are working on further defining licensing terms to include the permissible derivatives use cases.

Adding 12-month tenor to CME Term SOFR:

  • CME Group plans to launch an IOSCO and BMR compliant 12-month tenor before end of 2021, pending approval from the Oversight Committee.
  • Methodology will be an extension of the 6-month benchmark.
  • Interested parties may consult our published Methodology, IOSCO, and BMR statements for background.
  • Any feedback can be directed to TermSOFR@cmegroup.com.

Yield futures now available for testing in New Release

Industry readiness for Micro Treasury Yield futures is ramping up ahead of the August 16* launch, with clients now testing in the New Release test environment and a growing list of ISVs ready to support the product on day 1.

Vendor trading codes:

 

2Y Yield futures

5Y Yield futures

10Y Yield futures

30Y Yield futures

CME Globex

2YY

5YY 

10Y

30Y

Bloomberg

YQIA <Comdty>

YQEA <Comdty>

YQTA <Comdty>

YQBA <Comdty>

CQG

Z2YY

Z5YY 

Z10Y

Z30Y

DTN

@2YY

@5YY

@10Y

@30Y

Fidessa

2YY

5YY

10Y

30Y

FIS Global

2YY

5YY

10Y

30Y

ION

2YY

5YY

10Y

30Y

Itiviti

2YY

5YY

10Y

30Y

Refinitiv

Y2Y

Y5Y

Y10Y

Y30Y

TT

2YY

5YY

10Y

30Y

Vela

2YY

5YY

10Y

30Y


Product research: Understanding BSBY futures

Read our latest whitepaper to learn about the key aspects of the Bloomberg Short-Term Bank Yield Index (BSBY), and to get an in-depth look at the contract design features of BSBY futures, coming to CME Group on August 23*.

SOFR futures surpass 600 institutional participants

With an increasingly diverse global user base, trading volume in SOFR futures has surged 231% YoY, averaging 118K contracts per day over the last three months.​​​​

Likewise, SOFR open interest has risen 112% YoY to 847K contracts, bolstered by a 47% YoY increase in the number of large open interest holders reported by the CFTC.


Improved screen liquidity for F-TIIE futures

  • Resting liquidity now available across the front seven outrights.
  • Calendar spreads with 30 up at 2-3 ticks.
  • Block liquidity providers are also standing by to make markets (10 contract block minimum).
  • CME Direct users can download F-TIIE trading grids here.

CME FedWatch enhanced with additional FOMC meeting dates

The CME FedWatch tool now offers rate move probabilities extending out to the February 2023 FOMC meeting.

With the expanded data set, the tool shows Fed Funds futures markets are pricing a 51% probability of at least one 25 bps hike by the end of 2022 (as of Aug. 2).


Economic research: Why are bonds calm about inflation?

Bond yields have fallen sharply at the long end of the curve over the second quarter of 2021 despite the recent rise in inflation.

Has the many years of quantitative easing distorted the Treasury market? Sr. Economist Erik Norland investigates.


Data as of July 30, 2021, unless otherwise specified
*Subject to regulatory review