Exchange Recap
CME Group: Interest Rates Recap - April 2019
Record Trading in SOFR Futures Ahead of Quarter-End
CME SOFR futures saw record volume and open interest in March, bolstered by increased quarter-end risk transfer. SR1H9, which settled April 1, traded 4.3K contracts ($22B notional) per day in March while open interest exceeded 26K contracts ($132B notional) at month-end (Hedging Repo).
- 130+ global firms have traded CME SOFR futures
- Average daily volume reached a record 38.5K contracts ($68B notional) per day
- SOFR volume executed as an intercommodity spread (ICS) vs. Fed Funds and Eurodollars grew to 1.7K contracts/day, with 19% of volume in SR1 executed as a spread vs FF (Spreading SOFR)
- Open interest reached a record 151K contracts ($479B notional) on Mar 20, and extends to June 2021
- Large open interest holders reached a new high of 93 in the CFTC COT report dated Mar 19
- Cumulative volume since launch now exceeds $82M DV01 (2.88M contracts, $5.2T notional), 24x the SOFR swaps market*
- Floating-Rate Note issuance grew to $81B** notional from 22 different institutions (Issuance by Tenor).
Strong Liquidity during European and Asian Trading Hours
A record 2.03M Interest Rate contracts traded daily on CME Globex during European and Asian trading hours in 2018, +35% over 2017, which itself was a record year. Overnight trading remained strong in Q1 2019 with 1.92M contracts/day.
| ADV during Non-U.S. Hours | ||||
| Q1 2019 | 2018 | % Chg '18 vs. '17 | % Chg '18 vs. '13 | |
| Fed Funds Futures | 63,685 | 59,276 | +60% | +2057% |
|---|---|---|---|---|
| Eurodollar Futures | 639,406 | 750,966 | +37% | +70% |
| Eurodollar Options | 189,115 | 162,476 | +14% | +258% |
| Treasury Futures | 854,131 | 941,350 | +35% | +89% |
| Treasury Options | 174,048 | 187,648 | +57% | +152% |
Non-U.S. hours: 5 p.m. – 7 a.m. CT
Rates Trading Surges Following Dovish FOMC
Daily volume in Interest Rate futures and options surged to 14.6M contracts/day following the Mar 20 FOMC meeting, as traders reacted to a more dovish shift in the Fed's forward guidance than expected.
STIRs and options saw outsized trading activity. Options accounted for 32% of volume (vs. 24% in 2018) and hit a single-day record of 6.2M contracts on Mar 27.
| Post-FOMC ADV (Mar 20-29) | |||
| ADV (000s) | % vs. 2018 | ||
| Total Rates | Fut: | 10,029 | 33% |
|---|---|---|---|
| Opt: | 4,661 | 93% | |
| Eurodollars | Fut: | 4,820 | 59% |
| Opt: | 3,078 | 117% | |
| Treasury | Fut: | 4,677 | 10% |
| Opt: | 1,583 | 59% | |
| Weekly: | 390 | 106% | |
| Fed Funds | Fut: | 477 | 84% |
| CME FedWatch Tool Target Rate Probabilities for Dec 2019 FOMC Meeting | ||
| 4/1/19 | 3/1/19 | |
| 150-175 | 4.1% | 0.0% |
|---|---|---|
| 175-200 | 18.5% | 0.0% |
| 200-225 | 41.2% | 0.0% |
| 225-250 | 35.7% | 93.3% |
| 250-275 | 0.0% | 6.6% |
Strong Q1 for Treasury Futures
Amid a relatively low volatility environment, Treasury futures volume was over 4.39M contracts/day in Q1 2019, the third highest quarterly ADV all-time.
- Avg daily open interest of 14.2M contracts, +28% YoY
- New open interest highs set in 2-Yr Note, Ultra 10-Yr Note, T-Bond and Ultra T-Bond futures
- 2-Yr Note futures ADV was a record 672K, accounting for 15.3% of total Treasury futures volume (vs. 12.7% in 2018) following the change to 1/8 minimum tick in Jan 2019
- Invoice Spreads averaged 132K contracts/day, +49% vs 2018.
Data as of March 29, 2019, unless otherwise specified
SOFR futures notional shown for illustrative purposes only, computed based on the value of an equivalent money market instrument with the same dollar-value-of-basis-point (DV01)
*SOFR Swaps DV01 volume is calculated based on the cumulative notional and volume-weighted average tenor by instrument (OIS, EFFR v. SOFR Basis, LIBOR v. SOFR Basis) reported to the DTCC SDR.
** Source: Bloomberg
View the current version and an archive of the Rates Recap online at cmegroup.com/ratesrecap.
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