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.
As global institutions accelerate their transition plans ahead of key deadlines, SOFR continues to play an increasingly prominent role across USD capital markets.
Haven't secured your Term SOFR license yet? Contact us today and we’ll get you set up.
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.
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.
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% |
Data as of November 30, 2021, unless otherwise specified
*Subject to regulatory review