Efficiency in focus: Margin savings top $15 billion
Industry demand for capital efficiency continues to be met by CME Group, where portfolio margining and CME-FICC cross-margining programs allow clients to optimize margins across correlated interest rate positions and realize savings of over $15B.
Portfolio margining
- Participants saw a record $13B in average daily savings in September.
- Peak savings reached as high as $14B in recent weeks.
- USD IRS notional volume +67% YoY as clients increasingly clear USD positions at CME Group to take advantage of this program.
CME-FICC cross-margining
- Live for clients/end-users since April, the program has been providing up to 80% margin offsets for clients of common clearing members between CME-cleared Treasury futures and FICC-cleared UST Cash and Repo.
- Program savings have grown from $1B earlier this year to $2.3B on average in September.
Surging yields drive record demand for Treasury futures and options
With global sovereign yields surging to generational highs, market participants are turning to the unrivaled efficiency and liquidity of the Treasury futures market to manage duration, hedge exposure and execute relative-value strategies.
This environment produced record September trading:
- Treasury futures ADV of 7.7M was the highest September ADV on record, besting the prior high by nearly 2M/day.
- Treasury options ADV of 1.8M, also a record for September, was the fifth-highest monthly ADV all time.
- Treasury futures open interest (OI) expanded by 1.2M contracts ($75M DV01), reaching 24M overall.
More in Interest Rates
SOFR options activity booms amid shifting Fed expectations
In the 15 days following the Sep 26 quarterly expiry, SOFR options traders added over 6M contracts of new OI, the largest three week inflow since March. Over the same period, trading volume jumped to 1.6M/day, +41% vs. the prior month of trading.
Coming soon: Treasury Link available for testing
Treasury Link will soon be LIVE in the New Release testing environment, with phase 1 starting October 19 and phase 2 (STP) coming in November.
This offering represents a price differential between U.S. Treasury Actives offered on BrokerTec Chicago and CBOT U.S. Treasury futures, facilitating the simultaneous and atomic execution of both legs within a single transaction, eliminating legging risk.
Key product updates
TY calendar spreads moving to 1/8 ticks
Effective November 1, the minimum price increment for 10-Year Note (TY) futures calendar spreads will move to 1/8 of 1/32.
Treasury options block fee reduction
Effective October 1, the block fee for Treasury options was reduced by $0.40 for all members and non-members.
Final settlement granularity coming to SR1 and ZQ
Effective November 1, the final settlement price precision for One-Month SOFR (SR1) and 30-Day Fed Funds (ZQ) futures will be enhanced from 1/10 of a basis point to 1/100 of a basis point. The first affected contract month will be November 2026.
Data as of October 1, 2026, unless otherwise specified.
*Pending regulatory review
View an archive of the Rates Recap online at cmegroup.com/ratesrecap.
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