December 2023 Rates Recap

Pricing SOFR expiries? Use CME SOFRWatch

The market is now pricing up to 125bps of rate cuts in 2024 as softening inflation readings have shifted traders' expectations on Fed policy ahead. If you find that your views differ from the market, use CME SOFRWatch to plot how various outcomes from the Fed could impact your SOFR strategies.

Source: CME Group

Follow the paper to €STR futures at CME Group

End users are choosing €STR futures at CME Group, where OI grew by more in November (up 6.7K) than the total OI seen at any other exchange (as of November 30).

€STR futures ADV has doubled since August, while OI has increased by 138% in the same time frame as participants increasingly take advantage of the growing liquidity. 

Source: CME Group

What a month for Weeklies

The Weekly Treasury options suite now offers three precise ways to manage risk with Monday, Wednesday and Friday expirations. Traders are increasingly fine tuning their exposure with these varied expirations, as ADV set a new record across the Weekly complex with just under 500K ADV in November. 

New Monday Weekly options experienced a strong first full month, including: 

  • Total volume exceeding 372K contracts (17.7K ADV)
  • Open interest as high as 52K contracts

Learn more about weeklies and see specific ways to utilize Mondays in your strategy.

More cross-margining opportunities coming in January

On January 22, 2024, the CME Group/FICC enhanced cross-margining program will go live for house (proprietary) accounts of CME Clearing Members and FICC GSD Netting Members. Key points include:

  • Updated legal agreement – In order to ensure adequate time for setup ahead of the go-live date, this must be signed well in advance. Please reach out to your FICC coverage contact if you did not receive this document.
  • Eligible entities – Firms have the option, subject to FICC and CME approval, of selecting either (i) a single entity that is a clearing member of both CME and FICC GSD or (ii) a pair of clearing members where one is a CME Clearing Member (e.g. a BD/FCM) and an eligible affiliate is a FICC GSD Netting Member (e.g. a bank).
  • Testing – CME and FICC are running daily testing for all firms enrolled in the legacy program.
  • CME-driven production implementation – Daily operational assistance managing the Rules-Based Offset Engine can be made available. Reach out if you'd like to explore this further.

Have questions about the program? Reach out to our team for assistance.

Treasury futures complex gobbles up more records

Recent OI records have helped drive a record roll, demonstrating the robust liquidity of the Treasury futures roll. The Treasury complex reached new records as deep liquidity across the yield curve led to:

  • Record OI: 21.4M contracts (Nov 24), +50% YTD
  • Record one-day volume: 32.6M contracts (Nov 27)
  • Record monthly ADV: 9.3M contracts (November)

Cash portfolio risk? A hedge that fits the bill

With OI figures just over 4K for new T-Bill futures, the product continues to gain acceptance as a precise way to hedge out risks from cash T-bill portfolios and can provide new trading opportunities for trading vs. SOFR. Watch our new video to learn more about the auction process and key T-bill details.

Using implied liquidity to streamline ICS Spread trading

New ICS between Eris Swap futures and U.S. Treasury futures allows for a precise way to trade the swap spread using futures for both legs.

But how is implied liquidity generated in Globex implied ICS markets? Learn about implied orders and how these orders can help improve market depth and prices in our latest research article. 

Daily TBA futures recap now available

As the TBA futures market continues to grow (record $1.6B notional traded in November), we've launched a new daily report to help market participants track volume and open interest across the coupon stack.

To sign up, scroll to the "Interest Rates Report" section, and check off "Daily TBA market update" in the subscription center link below.

Data as of December 01, 2023, unless otherwise specified

View an archive of the Rates Recap online at