December 2021 Rates Recap

Jan. 10 press release will announce decision on 20-Year U.S. Treasury futures contract

In response to customer demand, CME Group designed three prototypes for a potential new 20-Year Treasury Bond futures contract.

These prototypes were presented via a market-wide webinar on Oct. 19, followed by rigorous client outreach to determine the validity and design preferences of this potential new product.

CME Group will announce a decision based on this market validation process in a press release to be issued at 6:00 a.m. CT / 7:00 a.m. ET Monday, Jan. 10, 2022.


SOFR adoption soars ahead of key transition deadlines

As global institutions accelerate their transition plans ahead of key deadlines, SOFR continues to play an increasingly prominent role across USD capital markets.

SOFR futures see records across the board

  • ADV jumped to a record 304K contracts per day in November (+28% MoM), including a single-day record of 521K contracts traded on Nov. 30.
  • Open interest rose to 1.6M contracts, +34% MoM and +86% since Sep. 1.
  • Global participation surpassed the 700-participant milestone since launch.
  • Large open interest holders hit a record 225 holders in the CFTC's Nov. 23 COT report.

SOFR swaps hit fourth straight record

  • CME Cleared SOFR swaps volume surpassed $124B in November, an increase of 45% vs. October and a fourth consecutive monthly record.
  • SOFR swaps accounted for a record 32% of CME Group’s USD swap trades in November, up from just 5% in July.

Term SOFR in high demand

  • 1,400 Term SOFR licenses have been issued to 330+ firms and growing.
  • Usage continues to grow, with BNY Mellon the latest to announce a trade finance deal linked to Term SOFR.

Haven't secured your Term SOFR license yet? Contact us today and we’ll get you set up.


Reminder: Reduced-tick SOFR-ED spreads coming Jan. 10

Beginning Jan. 10*, CME Group will permit new reduced-tick SOFR-ED spreads aimed at further reducing friction for participants moving positions from Eurodollars into SOFR futures (SR3) by offering the ability to trade at or very close to the ISDA fallback spread for 3-month USD Libor.

  • Tradable in 0.1 bp increments around the fallback spread.
  • Available for same contract month ICS for contracts beginning with Sep 2023.
  • Each spread trade will simultaneously execute a buy (sell) in SR3 vs. a sell (buy) in Eurodollars at a spread equal to 26.16 + the traded price.

CME Group clears first BSBY interest rate swap trade

Designed to complement CME Group’s leading suite of SOFR-based derivatives, cleared BSBY swaps and futures provide clients with an additional means of managing interest rate exposures in a post-Libor world.

  • First BSBY swap cleared on Dec. 1.
  • BSBY futures have traded 400K+ contracts since launch in August.

Nov. '21 a top 10 month all-time for Rates volumes

Daily volume in Interest Rate futures and options surged to 12.3M contracts per day in November, the eighth highest monthly ADV on record.

November 2021 ADV

 

 

ADV (000s)

% YoY

Total Rates

 Fut

9,730

31%

 Opt

2,544

89%

STIR

 Fut

3,406

60%

 Opt

1,436

139%

Treasury

 Fut

6,312

20%

 Opt

1,109

49%

MAC/Eris Swap

 Fut

11

54%


Notable product milestones:

  • Ultra 10-Year futures ADV hit the second highest level all-time with 570K contracts/day, including a single-day record of 1.8M contracts on Nov. 23.
  • 3-Year T-Note futures ADV hit a record 19.6K contracts in November, including a single-day record of 45K lots traded on Nov. 30.
  • Micro Treasury Yield futures surpassed 1,200+ unique accounts trading since launch ​​​​​​(more on Yield futures).

Now live: TAS for Treasury futures

  • Order book well populated with significant size offered across all tenors.
  • Trades seen nearly every day since launch, across tenors, in both outrights and calendars. 
  • Enables clients to achieve execution at or near the settlement price, making it particularly useful when replicating an index.

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