Exchange Recap
CME Group: Interest Rates Recap - December 2019
Eurodollar Open Interest advances 17%
Eurodollar futures and options liquidity continues to deepen with both volume and open interest on pace for a record year:
- Over 70M contracts of open interest held on average in 2019, +17% YoY
- Over 4.5M contracts traded daily in 2019, +4% YoY
SOFR futures positioning ahead of year-end turn drives record OI
Despite seeing 83K contracts roll off with the expiration of the October SR1 contract, SOFR futures open interest swiftly rebounded in November, reaching a record 573K contracts on average daily volume of 48K contracts:
- 1M SOFR futures continue to serve as a useful and liquid hedging tool for overnight repo, especially during periods more susceptible to funding pressure such as quarter-end and year-end. Open interest in the DEC 2019 (SR1Z9) and JAN 2020 (SR1F0) contracts surged by 66% in November
- Relative value trading vs. Fed Funds and Eurodollars accounted for 31% of SOFR volume
- Large OI holders hit a new high of 152 in the Nov. 26 CFTC COT report.
Strong client interest ahead of Jan 6 SOFR options launch*
Industry readiness for 3-Month SOFR options (SR3) is ramping up ahead of the January 6 launch*. As the first listed non-linear SOFR product, SOFR options will further assist with the market’s adoption of SOFR as a reference rate, and in its usefulness as a Treasury Repo Index.
New resources available on our SOFR options page:
- FAQ
- Vendor codes
- Expiration date examples
Ultra 10 continues outsized growth in its fourth year
Ultra 10-Year T-Note futures (TN) continue to play an expanded role in portfolios, with OI hitting a record 954K contracts on Nov. 25, accounting for a record 6% of Treasury futures OI:
- Avg. daily OI +30% YTD (UST futures +20%)
- ADV +25% YTD to 235K contracts (UST futures +7%)
- Large OI holders hit a new high of 117 in the Nov. 19 CFTC COT report.
Treasury curve trading surges
Inter-Commodity Spreads (ICS) offer efficient execution of curve trades between Treasury futures contracts with reduced leg risk.
- YTD, 25K spread combinations trade daily, resulting in average daily volume of over 127K contracts, +84% YoY
- 5Y vs. 10Y (FYT) ICS is the most actively traded
- Biggest growth seen in 2Y vs. 5Y (TUF) ICS, which is more cost-efficient since the 2Y tick cut
Portfolio margining enhancements
Recent enhancements to portfolio margining of futures and cleared OTC swaps strengthen the capital efficiencies available for client Interest Rate portfolios.
Resulting efficiencies for futures vs. IRS strategies cleared at CME**:
- Margin efficiencies as high as 96.8% for Eurodollar convexity bias strategies
- Margin efficiencies of up to 81% for Invoice Swap Spreads (packaged trades between swaps and UST futures, providing an off-balance-sheet alternative to swap spreads).
Data as of November 29, 2019, unless otherwise specified
*Pending regulatory approval
**Margin efficiencies are indicative only and are subject to change
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.