November 2022 Rates Recap

  • 8 Nov 2022
  • By CME Group

New contracts on the block

€STR futures, launched Oct. 31, saw trading activity in each of the first five days, with streaming liquidity enabling 631 contracts traded across a diverse set of buy- and sell-side participants:

  • Outright €STR contracts cover the front two years.
  • Innovative single contract basis spread futures efficiently represent ESTR-Euribor expectations.
  • Inter-commodity spreads vs. SOFR improve price discovery in forward FX and cross currency markets.
  • RepoFunds Rate futures benchmarked to German and Italian RFR Indexes will launch Dec. 5 (view SER).*

TBA futures, launched on Nov. 7, saw first trades in the 3.5% and 5.0% coupons with streaming prices on CME Globex complemented by block market makers ready to respond to block requests ($10M notional minimum block threshold):

Fee waivers on reduced-tick SOFR vs. Eurodollar spreads

To further reduce any frictional costs for clients wanting to move Eurodollar positions to SOFR prior to the April 14, 2023 Eurodollar fallbacks conversion, CME Group is providing exchange fee waivers on reduced-tick SOFR vs. Eurodollar transition spreads.

The fee waivers are effective Nov. 1 for futures-based SED spreads and Nov. 21 for options-based LS spreads, and will last through April 14, 2023.

SOFR open interest surpasses 27M

As SOFR volumes outpace Eurodollars by an increasingly large margin, open interest is swiftly migrating to SOFR.

SOFR OI has grown to 27M contracts, or 92% of Eurodollars (up from 70% of ED on Sept. 30).




SOFR % of ED

Futures ADV
(20-day rolling)




Options ADV
(20-day rolling)




Futures OI
as of Nov. 7




Options OI
as of Nov. 7




Source: CME Group, data as of Nov. 7, 2022

Proposed enhancements to 10-Year (TY) delivery basket

CME Group is proposing to shorten the TY delivery basket to ensure the contract remains distinct from the Ultra 10-Year contract (9.5 to 10 years) in all yield environments.

The proposal is open for public comment through Nov. 17. Feedback can be submitted to our team here.

New study: Optimizing Margins Across CCPs

See how overlay trades in USD IRS can be used to optimize margins across CCPs without altering individual portfolio managers’ behavior.

The proposed solution reduces margin costs in an environment of higher funding costs and volatility-driven rising margin requirements across the industry.

Speaking of efficiencies...

CME Group's portfolio margining of cleared IRS vs. futures and options delivered yet another record of $8.8 billion in daily margin savings in October.

Even more efficiencies will be unlocked starting on Dec. 12, as SOFR and Treasury options will be added to portfolio margining. Test this enhancement now in New Release.

Data as of November 7, 2022, unless otherwise specified
*Pending regulatory review