March 2022 Rates Recap

SOFR futures now 50% of Eurodollars trading volume

With the user base broadening to over 1,000 global participants, SOFR futures trading continues to thrive.

Over the last two weeks:

  • ADV of 1.8M contracts (53% of Eurodollars), including a daily high of 2.7M and three consecutive days over 2M
  • OI of over 3.8M contracts (34% of Eurodollars)
  • Packs and bundles ADV of 258K (15% of SR3 volume), and SR3-ED ICS ADV of 327K

Source: CME Group

More on SOFR


SOFR options OI surpasses 1,000,000

SOFR options continue to grow at an unprecedented pace in 2022, with OI jumping to over 1.15M contracts in just two months, and ADV reaching 57K contracts in February.

Source: CME Group

View OI details


SOFR swaps capture 50% of USD trades

Cleared SOFR swaps volume averaged a record 11.3B notional per day in February, with SOFR-indexed trades representing 50% of the USD trades cleared at CME, up from 37% in January.

Source: CME Group

More on SOFR swaps

20-Year Bond futures see strong reception on day 1 of trading

  • 30 participants
  • Volume of 1,333 contracts
  • 150 contracts traded via Exchange for Physical (EFP)
  • Open interest of 1,041

View 20-Year quotes


Interest Rate futures delivering resilient liquidity

Interest Rate futures and options continue to provide participants with deep and resilient liquidity to manage risk in volatile and uncertain markets:

  • Feb ADV: 14.9M contracts (4th highest ever)
  • Record ADV in Ultra 10Y (629K), Ultra Bond (414K), and 3Y futures (21K)
  • Record ADV in SOFR futures (1.2M) and options (57K)

February 2022 ADV

 

 

ADV (000s)

% YoY

Total Rates

 Fut

12,332

15%

 Opt

2,602

4%

STIR

 Fut

4,671

42%

 Opt

1,529

18%

Treasury

 Fut

7,647

3%

 Opt

1,074

-11%

Eris/MAC Swap

 Fut

13

-17%

Source: CME Group

View full product suite


Trading yield curve spreads efficiently in volatile markets

CME Globex-listed Inter-Commodity Spreads (ICS) enable execution of curve trades in a single transaction with zero leg risk.

By reducing the noise and inefficiency of individual legs in volatile markets, ICS are a key tool for trading risk events.


Coming April 11*: Eris BSBY Swap futures

Listed in 1Y, 2Y, 3Y, 4Y, 5Y, 7Y, and 10Y tenors, the contracts replicate the cash flows of a vanilla OTC fixed versus floating 3-month BSBY swap. 

View Eris BSBY Primer

View SER


Join us at the ISDA Benchmark Strategies forum

Complimentary registration is now open for the first event in the series, a March 22 virtual conference exploring the steps participants need to take ahead of the end of USD LIBOR.

Register today


Data as of March 4, 2022, unless otherwise specified (20Y T-Bond data as of March 7)

*Subject to regulatory review