September 2021 Rates Recap

Term SOFR now available for permissible OTC derivatives

CME Term SOFR Reference Rates are now available for licensing for use in cash market financial products and OTC derivative products.

  • For details on licensing and terms of use, please reference our updated Term SOFR FAQ.
  • To discuss licensing with a member of our team, please contact CME Data Sales.

SOFR rates, now all in one place

In response to client requests, we've launched an enhanced data table that now pairs CME Term SOFR rates alongside the New York Fed's overnight SOFR rate, SOFR Index, and SOFR Averages (30-, 90-, and 180-day).

Source: CME Group, NY Fed

Micro Treasuries see big liquidity, enable early When Issued (WI) trading

In their first three weeks of trading, Micro Treasury Yield futures have seen a rapid uptake as impressive screen liquidity enabled over 165,000 contracts in total volume (11K ADV) and active trading from 185+ unique accounts.

  • ADV hit 15.8K contracts/day in week 2, including 25K traded on Aug 27.
  • Open interest reached 3,597 contracts.
  • Resting liquidity extends across all time zones.

Why trade Yield futures? ​​​Consider this use case enabled uniquely by Yield futures:

BSBY futures now LIVE

Futures on the Bloomberg Short-Term Bank Yield (BSBY) index are now live and trading.

  • Volume and open interest are growing, with week 2 ADV exceeding 5,700 contracts/day.
  • Price discovery is available in outrights, calendar spreads, and ICS vs. SOFR futures and Eurodollars, facilitating initial trading activity. 
  • Liquidity is strong in the BSBY Whites and Reds, with several hundred contracts available at Top of Book, 1-2 minimum ticks wide.

BSBY swap clearing to launch November 15*

As a complement to BSBY futures and our SOFR-based offerings, CME Group will launch Cleared BSBY swaps for both outright OIS and basis swaps beginning November 15*.

SOFR volumes hit new records in August

CME SOFR futures:

  • Aug ADV topped 125K contracts/day, the second highest monthly ADV (chart).
  • Record open interest of 880K contracts on Sept. 1.
  • Record ADV and open interest in 3-Month SOFR futures.
  • Record Packs & Bundles ADV of 14K contracts/day.
  • Record EFR volume quarter-to-date: In July and August alone, over 83K SOFR futures were executed via EFR (exchange-for-risk), a key source of price discovery enabling the OTC market's transition to SOFR first.​​​​​

CME Cleared SOFR swaps:

  • SOFR swaps volume reached $65 billion, the highest monthly volume ever excluding the Oct. 2020 discounting transition (chart).
  • Notional outstanding increased to $264B.
  • Offsetting SOFR futures and cleared swaps via portfolio margining is now generating an additional $90 million in margin savings for participating firms.

Eris SOFR Swap futures:

  • Record single-day volume of 56K contracts on Aug. 13.
  • Record open interest of 8.3K contracts on Aug. 16.
  • Learn more

Fiscal Turbulence Ahead?

A confluence of fiscal and monetary hot spots could mean heightened risk and a more volatile ride ahead for interest rate markets.

Read about potential risks (and risk management solutions) associated with the debt ceiling, the TGA drawdown/RRP paradigm, and the potential for the Fed to begin tapering as the Treasury begins reducing coupon issuance.

Data as of September 3, 2021, unless otherwise specified
*Subject to regulatory review