Exchange Recap
CME Group: Interest Rates Recap - August 2019
SOFR/FF spread trading, expanded participation drive SOFR records
Ahead of FOMC, with basis spreads between SOFR-FF and SOFR-ED moving to increasingly negative levels, SOFR inter-commodity spread (ICS) volume has surged to over 7.5K contracts/day in July (20% of SOFR volume).
Source: QuikStrike STIR Analytics Tool
| BPS Range | 125-150 | 150-175 | 175-200 | 200-225 | 225-250 (current) |
| 07/31/19 | 0.0% | 0.0% | 21.4% | 78.6% | 0.0% |
|---|---|---|---|---|---|
| 09/18/19 | 0.0% | 12.9% | 55.7% | 31.4% | 0.0% |
| 10/30/19 | 6.0% | 33.0% | 43.3% | 16.6% | 0.0% |
| 12/11/19 | 15.6% | 37.0% | 34.5% | 10.8% | 0.0% |
Probabilities as of July 26, 2019 at 10:45 a.m. CT
SOFR futures have achieved several other milestones in July, with record participation from buy-side firms and banks, including 20+ new participants:
- Record OI: 216K ($765B notional), +47% MTD
- Record ADV: 39K contracts ($105B notional)
- Record LOIH: 107 in the July 16 CFTC COT report
- Record day: 86K contracts traded on July 25
- Since launch: 180+ global firms have traded 5.4M contracts ($10.9T notional, $157M DV01).
New SOFR compounding calculator
View current 1-Mo, 3-Mo and 6-Mo compounded rates for SOFR and EFFR based on the latest fixings or calculate compounded rates for any custom period.
CME SONIA futures lead liquidity development
CME Quarterly IMM SONIA futures were the leading liquidity pool in June, based on volume, with 47% market share:
- July ADV is on pace for a record at 13K, +44% including a one-day record of 39k vs. previous monthly high
- Quarterly IMM SONIA contracts are complemented by MPC dated futures which provide exact hedging between Bank of England meeting dates (CME BoEWatch Tool)
- Automatic margin offsets and spread trading against Eurodollars, Fed Funds and SOFR contracts
- Aligned with CME GBP/USD Quarterly FX futures (6B)
- BBG: ONSA Comdty / MPCA Comdty
- Reuters: 0#SNO: / 0#MPZ:
CME Publishes Proposal to Facilitate Discussion on SOFR Price Alignment and Discounting
Record Q2 for Ultra 10-Year Treasury Note futures (TN)
- Record ADV: 235K, +33% YoY
- Record OI: 778K, +41%
- Avg top of book: 310, +24%
- BBG: UXY | Reuters: 0#TN:
With a delivery basket of 9 years and 5 months to 10 years, TN is the most efficient tool for gaining off-balance-sheet 10-year Treasury exposure.
Data as of July 26, 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).
Acronym legend: Average Daily Volume (ADV), Open Interest (OI), Large Open Interest Holders (LOIH)
View the current version and an archive of the Rates Recap online at cmegroup.com/ratesrecap.
Helping the World Advance: CME Group comprises four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX.
Futures trading is not suitable for all investors, and involves risk of loss. Futures are a leverage instrument, and because only a percentage of a contract's value is required to trade, it is possible to lose more than the amount of money initially deposited for a futures product.
CME Group is the trademark of CME Group, Inc.
The Globe logo, Globex® and CME® are trademarks of Chicago Mercantile Exchange, Inc.
CBOT® is the trademark of the Board of Trade of the City of Chicago.
NYMEX, New York Mercantile Exchange, and ClearPort are trademarks of New York Mercantile Exchange. Inc.
COMEX is a trademark of Commodity Exchange, Inc
© 2019 CME Group Inc. All rights reserved.
This information is reproduced by permission of CME Group Inc. and its affiliates under license. CME Group Inc. and its affiliates accept no liability or responsibility for the information contained herein, including but not limited to the currency, accuracy and/or completeness of this information, and delays, interruptions, errors or omissions. This information is an unofficial copy and may not reflect the official and accurate version. For the definitive and up-to-date version of any of this information, please see www.cmegroup.com.
Further information:
If you would like further information, please contact CME Group.