Trading activity in SOFR options skyrocketed in June, with a record number of participants taking advantage of strong liquidity and a market-wide fee waiver (in June and July) to manage short-end rates volatility.
SOFR options performance for June:
Source: CME Group
On Oct. 3, we're launching physically delivered monthly futures on 30-Year Uniform Mortgage-Backed Securities (UMBS) TBAs, giving mortgage lenders, issuers, and servicers an exchange-traded, centrally cleared, and globally accessible liquidity pool for hedging.
About 30-Year UMBS TBA futures:
Since publishing our USD LIBOR Conversion Proposal, CME Group has been gathering feedback from participants in hopes of finalizing our methodology by the end of July.
Of the key considerations raised in the proposal, we are hoping to gather additional feedback on these specific items:
Please share any feedback on this proposal by July 15, 2022.
In June, a record 1,640 active users enjoyed intuitive, yield-based rates trading – a 10th consecutive month of participation growth.
Q2 2022 saw 3x as many users as Q4 2021, helping to propel open interest to a record 8.3K contracts on June 22.
Video roundtable: Pandemic-Era Policy Lessons and The Path Forward for Rates: Watch a panel discussion featuring Cameron Dawson of NewEdge Wealth, Subadra Rajappa of Société Générale, Jim Iuorio of TJM Institutional Services, and Eric Leininger of CME Group.
Event replay: ISDA Benchmark Strategies conference: Couldn't attend in person? Watch the recorded sessions from our June 7 ISDA event in New York, available via complimentary registration.
Research: Eurozone Repo Rates and Volatility: Using RepoFunds Rate (RFR) Indices, we explore how rising rates and collateral scarcity are impacting euro repo markets.
Data as of July 1, 2022, unless otherwise specified
*Source: Refinitiv Deals Screener
**Source: SBSDRView from Clarus
***Pending regulatory review