March 2023 Rates Recap

  • 9 Mar 2023
  • By CME Group

Announcing CME €STR First

Based on client feedback and validation, CME Group will launch "CME €STR First," a market-wide initiative geared toward accelerating adoption and liquidity in €STR futures during the months of April, May, and June.

  • Exchange trading fees for €STR futures will be waived from April 3 through June 30, 2023*.
  • Concurrently, the exchange will invest in deepening the provision of liquidity to meet growing end-user demand.

€STR volumes have grown each month since launch, with deepening liquidity helping to facilitate over 2.4K contracts per day in February.

Source: CME Group

Product spotlight: Trade monthly options on white quarterly SOFR futures

3-Month, 6-Month, and 9-Month SOFR Mid-Curve options offer short-dated, one-to-three month options on white quarterly SOFR futures.

For example: 

  • Trade Mar23 options on SR3Z3 underlying using 9-Month Mid-Curves (TS4H3).
  • Trade Apr23 options on SR3Z3 underlying using 6-Month Mid-Curves (TS3J3).

Listing details:

  • Two serials and one quarterly option are listed at a time – currently these are Mar23, Apr23, and May23.
  • 3-Month Mid-Curves (CME: TS2, BBG: SRA) reference the futures contract that is three calendar months from the options typical underlying. 
  • 6-Month Mid-Curves (CME: TS3, BBG: SRR) reference the futures contract that is six calendar months from the options typical underlying.
  • 9-Month Mid-Curves (CME: TS4, BBG: SRW) reference the futures contract that is nine calendar months from the options typical underlying.

Underlying futures for 3-, 6-, and 9-Month Mid-Curves

Expiration date






















Source: CME Group
**Listed when March expires

Rates trading soars to second highest month on record

U.S. economic data gave investors more mixed signals in February. Some implied recession, while others suggested an economy on an extremely solid footing. This drove significant risk management activity, which coupled with the March-June Treasury roll made for an extremely heavy volume month. In fact, Rates volume for February jumped to 16.2M contracts per day, second only to the 17M traded on average in February 2020. 

Top 10 products traded by ADV (plus rank all-time):

  1. SOFR futures: 3.8M (1st)
  2. 10-Year futures: 2.7M (4th)
  3. SOFR options: 2.4M (1st)
  4. 5-Year futures: 2.1M (3rd)
  5. 2-Year futures: 1.1M (5th)
  6. 10-Year options: 841K (6th)
  7. Ultra 10-Year futures: 625K (2nd)
  8. Fed Funds futures: 564K (3rd)
  9. T-Bond futures: 543K (12th)
  10. Ultra T-Bond futures: 425K (1st)

Elevated volumes sent open interest to a multi-year year high of 87.7M contracts, +31% YTD, including records in SOFR futures (10.7M), SOFR options (40.2M), and overall IR futures (34.5M).

TBA futures see margin offsets vs. Treasury futures now as high as 70%

As interest in hedging mortgage risk via TBA futures continues to rise, the contracts are providing even more efficient exposure for market participants.

  • ICS offsets between TBA futures and Treasury futures are now at 70% vs. 10-Year Treasury.
  • Outright margin rates are now roughly 3.5% for the most liquid coupons.
  • ICS offsets between TBA futures are now as high as 85% for certain coupon pairs.

Margins and offsets are subject to change.

Beyond these savings, traders have also seen liquidity ramp up in recent months. Highlights include:

  • Four market makers providing on-screen liquidity 
  • Competitive bid-ask spreads that are, for some participants, better than OTC TBA market quotes
  • Block trading of 600 contracts supported by six block market makers
  • Open interest surpassing 500 contracts
  • 6.5% coupons listed for May23 contracts and beyond

Soaring yields fuel usage of Treasury Yield futures

With 2-Year yields rising more than 70 basis points in February, further deepening the 2s10s inversion, traders are increasingly looking to Yield futures to express a view on where Treasuries are headed next. Both 2-Year and 10-Year Yield futures set fresh OI records as trading volumes jumped 115% vs. the prior three-month average.

Source: CME Group

Stay up-to-date on yield curve trends with our popular Treasury Analytics tool, now featuring CurveWatch, a succinct view into benchmark yields and spread pairs over time.

Questions about LIBOR conversion for cleared swaps or Eurodollar futures and options?

Eurodollar futures and options will be converted to SOFR contracts on April 14, 2023, while cleared LIBOR swaps will be converted to SOFR Swaps on April 21, 2023.

If you have questions about either conversion process, reach out to our teams to get answers.

The new standard for Mexican rates

Big changes are on the horizon for reference rates in Mexico. The country's central bank recently communicated plans to move away from TIIE28 and require the usage of the Overnight TIIE Funding Rate (F-TIIE). 

As the market for 98% of the cleared Mexican interest rate swaps, CME Group will soon collaborate with TIIE28 users in order to ensure a smooth transition to the new standard. You can prepare now by learning about F-TIIE futures, peso-denominated monthly futures that provide an efficient hedging solution and forward price discovery for the F-TIIE rate.

Data as of March 1, 2023, unless otherwise specified
*Pending regulatory review

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