March 2023 Rates Recap

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

More on €STR 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

Source: CME Group
**Listed when March expires

Learn about monthly mid-curves

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).