August 2022 Rates Recap

SOFR futures and options surpass Eurodollars

In July, SOFR futures and options ADV topped 2.16M contracts, surpassing Eurodollar futures and options ADV of 1.75M for the first time:

  • SOFR's share of ED futures ADV was 139%, accelerating to 154% over the last two weeks.
  • SOFR's share of ED options ADV jumped to 82%, accelerating to 121% over the last two weeks.
  • SOFR open interest rose to 16M contracts (41% of ED):
    • SOFR futures OI: 7.3M (77% of ED)
    • SOFR options OI: 8.7M (30% of ED)

Source: CME Group

Source: CME Group

Reminder: In recognition of the deep liquidity and strong momentum in SOFR options, CME Group has extended fee waivers for SOFR options trading and liquidity boosting incentives for participating market makers through the entire month of August.

Find SOFR options on Bloomberg


Stay ahead of the curve as the market prepares to shift OI to SOFR

Reduced-tick spreads offer a cost-effective way to do so:

  • For futures positions: "SED" spreads allow same contract month SR3-ED spreads Sep 2023 and beyond to be traded in 0.1 bp increments around the ISDA fallback spread for 3M USD Libor (details).
  • For options positions: "LS" spreads allow options premiums to be traded at 1/20 of a tick on select permissible two-legged spread strategies (details).

Source: CME Group


Term SOFR by the numbers

  • Loans: $1.66T YTD*
  • Firms under license: 1,320
  • Total licenses issued: 5,550
  • OTC derivatives hedges: $340B**

TBA futures to launch Oct. 3***

Physically delivered monthly futures on 30-Year Uniform Mortgage-Backed Securities (UMBS) TBAs will give mortgage lenders, issuers, and servicers an exchange-traded, centrally cleared, and globally accessible liquidity pool for hedging.

View contract specs


3-Year Treasury Note futures carving out a niche

A greater focus on front-end Treasuries has bond traders looking to 3Y futures as a liquid source of granular hedging, relative-value opportunity, and cost-effective execution (1/8 ticks):

  • Over 350 participants have added 3Y futures to their trading mix since relaunched in July 2020.
  • Volume has grown to over 18.3K contracts/day in June and July.
  • 2s3s (TYT) and 3s5s (TOF) inter-commodity spreads are regularly among the top 10 most actively traded ICS instruments.
  • The contract's tight deliverable window (2yrs 9mo to 3yrs) ensures a CTD cash note near the 3-year point in all yield environments, enabling improved cash-futures basis trading.

More on 3Y futures


Portfolio margining unlocks record $7.2B in daily margin savings in June

  • A record $1.4B in daily savings was attributable to SOFR futures exposures.
  • Utilization of available net option value to offset cleared swaps margin requirements added $1.3B in daily savings.
  • Further efficiencies are coming soon with Treasury options, SOFR options, and Eris SOFR Swap futures expected to be added to the program later this year.***

View savings examples


New charting tool for RepoFunds Rates

With the new tool, you can:

  • Access interactive charting on 16+ years of historical data.
  • Visualize sterling, eurozone, and Japanese sovereign repos over time.
  • Compare inter-country spread relationships.
  • Assess spread dynamics between General Collateral (GC) and Specials (SC).​​​​​

Try it out


Insights and analysis


Data as of July 29, 2022, unless otherwise specified


*Source: Refinitiv Deals Screener
**Source: SBSDRView from Clarus
***Subject to change and pending regulatory review