Anchored by a deliverable basket of original issue 20-year Treasury bonds with remaining term to maturity at delivery between 19 years 2 months and 20 years, 20-Year T-Bond futures will offer greater efficiency and precision in managing 20-year bond exposures.
Contract features include:
Capping off a year of meaningful expansion, the SOFR market accelerated to new records in Q4 2021:
CME SOFR products – 2021 year in review:
|
|
2018 |
2019 |
2020 |
2021 |
---|---|---|---|---|---|
FUTURES |
Participants |
90 |
350 |
500 |
750 |
ADV (Q4) |
11K |
42K |
69K |
277K |
|
Peak OI |
80K |
578K |
708K |
1.85M |
|
Peak large OI holders |
69 |
161 |
170 |
249** |
|
OPTIONS |
Total volume |
N/A |
N/A |
9,100 |
9,000 |
Peak OI |
N/A |
N/A |
8,100 |
8,570 |
|
SWAPS |
Volume cleared |
$200K |
$43B |
$322B |
$813B |
Notional outstanding |
$200K |
$36B |
$173B |
$535B |
|
TERM SOFR |
Firms under license |
N/A |
N/A |
N/A |
450 |
Total licenses issued |
N/A |
N/A |
N/A |
2,000 |
Source: CME Group
Tradable in 0.1 bp increments around the ISDA fallback spread for 3M USD Libor, reduced-tick SR3-ED spreads aim to further reduce friction for participants moving positions from Eurodollars into SOFR futures.
With SOFR futures liquidity firmly established, the spotlight for 2022 now turns to SOFR options, which are designed to replicate the entire Eurodollar options product suite.
U.S. Treasury futures volume averaged an all-time record 4.5M contracts ($497B notional) per day in 2021, including individual product records in five of the seven tenors.
2021 contract ADV by tenor:
Historically, U.S. Treasury 10-year yields have tended to embed a risk premium for future inflation. That risk premium was erased by QE and low rates in the 2010-2021 period. Will it reemerge once QE has ended and short-term rates are rising?
Chief Economist Blu Putnam explores this and other key questions facing Treasury yields in 2022.
Commencing in 2022, CME Group Exchanges will observe the Juneteenth holiday each year. As a result, the last trading date and settlement procedures for certain CME and CBOT Interest Rate futures will be impacted.
Data as of December 31, 2021, unless otherwise specified
*Subject to regulatory review
**Source: December 28, 2021 CFTC Commitments of Traders Report