With persistent volatility, our Interest Rate complex stepped up again to meet the market's risk management needs. With ADV of 13,716,318 contracts, 2024 was a record year for volume, bolstered by unprecedented activity that featured: 

• Record SOFR ADV of 5.2M contracts, a 2nd consecutive record and 17% higher than Eurodollars' best year.

• Record Treasury futures ADV of 6.7M contracts, a 4th consecutive record year.

• Record Treasury options ADV of 1.3M with outsized growth in weekly expiries.

• Record ADV in Eris SOFR Swap futures, €STR futures and TBA futures, all of which doubled prior ADV highs.
• Record ADOI in SOFR, Treasury, Eris SOFR, €STR and TBAs.

Cross-Currency Basis futures arrive on February 3*

In less than one month, a more efficient way to manage the EUR/USD basis will make its debut. 

The new contracts will track the CME EUR/USD Cross-Currency Basis Index and are calculated from simultaneously observed prices in our SOFR, €STR and EUR/USD futures prices. 

Cross-Currency Basis futures arrive on February 3*

In less than one month, a more efficient way to manage the EUR/USD basis will make its debut. 

The new contracts will track the CME EUR/USD Cross-Currency Basis Index and are calculated from simultaneously observed prices in our SOFR, €STR and EUR/USD futures prices. 

New tools and improvements to our analytical suite are consistently rolling out on CMEGroup.com. Make sure you are taking advantage of these resources to hone your risk management strategies in the new year.

STIR Analytics: Monitor the basis for a variety of short-term interest rates including T-Bills, SOFR and Fed Funds.

€STRWatch: Visualize the potential impact of ECB policy changes as well as what the current basis is for contracts further out on the curve.

TreasuryWatch: Get an in-depth view into the U.S. Treasury markets including auctions, the Fed balance sheet and yield analysis.

By Erik Norland

In 2024, most of the world's central banks, including the ECB and the Fed, began easing monetary policy. While investors expect the easing trend to continue into 2025, expectations have been evolving rapidly. At the time of the Fed's first rate cut in September, traders anticipated that the Fed might eventually lower rates to 2.75% or 3.00%. During Q4, those expectations were reined in towards anticipating a Fed rate of around 4% by the end of 2025.

At the heart of the central banks' dilemma is that nearly everywhere inflation is still running above target. In the U.S., core inflation remains at 3.3%, 1.3% above the Fed's target. Core inflation also remains above target in the Eurozone, Australia, Canada, the UK, Japan and most other countries, with the exception of China. As such, central banks must balance the fear of stubborn or even resurgent inflation with the possibility that their 2022-2023 rate hike cycle might significantly slow the pace of growth. 

Indeed, economic growth has ground to a halt across most of Europe and growth remains slower than normal in most countries excluding the U.S. Even the relatively robust U.S. economy is showing cracks with rising unemployment rates, lengthening duration of unemployment and soaring default rates on consumer loans, especially autos and credit cards. Default rates on private credit are also increasing. Finally, a new U.S. administration adds to the economic uncertainty with the possibility of tariffs, which could also impact inflation and growth rates in the U.S. and around the world.

With the successful transition from 28D TIIE to F-TIIE for cleared swaps, the Mexican rate market enters a new era in 2025.

Activity has begun to pick up in F-TIIE futures including more volume in December than in the previous 11 months of the year combined.

See how these contracts can fit into your hedging toolkit ahead of the market-wide exchange fee waiver starting next month.

Powered by daily transactions and official exchange market prices, Term €STR is a new, forward-looking measurement of overnight €STR.

Data as of January 02, 2025, unless otherwise specified.

* Pending regulatory approval