Exchange Recap
CME Group: Interest Rates Recap - May 2019

May 2019

SOFR Futures' First Year Ranks Among Most Successful in CME Group's 171-Year History

CME SOFR Futures' first year: Total volume of 3.5M contracts ($6.4T in notional, $100M DV01), with open interest reaching 151K contracts ($479B notional).

SOFR vs. Other Leading Product Launches
  ADV (Last 3 Months of First Year) Open Interest (Year 1 Peak)
Ultra 10-Year Note 101,223 326,035
Ultra T-Bond 53,548 396,692
E-mini Nasdaq-100 32,405 35,059
SOFR Futures 31,531 151,454
E-mini Dow 29,840 32,516
SOFR, Eurodollars, and Fed Funds At First Anniversary
  ADV (Year 1) Open Interest (Year 1 Peak)
SOFR Futures 13,978 151,454
Eurodollar Futures 1,240 20,336
Fed Fund Futures 275 3,761

In today's mature state, Eurodollars and Fed Funds are the world's deepest and most liquid short-term interest rate products.

Eurodollars and Fed Funds Today (Q1 2019 data)
  Years Since Launch ADV Open Interest
Eurodollar Futures 38 2,900,000 12,570,000
Eurodollar Options 34 1,720,000 52,320,000
Fed Fund Futures 31 274,000 1,900,000

ADV and OI in the tables above reported in # of contracts.

SOFR Futures Year One Highlights

  • 140 firms have traded CME SOFR futures*
  • ADV has grown to 28K in 2019
  • Daily volume exceeded 40K contracts 19 times since Feb 15, including a record 81K on Mar 7
  • Our active network of block market makers has enabled over $4.4M in DV01 risk to be executed via bilateral block trades
  • Inter-Commodity Spreads (ICS) vs. ED and FF account for as much as 20% of volume on some days
  • SOFR term structure extending 3+ years
  • 0.5 to 1.0 tick wide markets out 18+ months

*As highlighted in the ARRC’s “SOFR: A Year in Review," CME remains the only exchange to report participant count.

Learn more about SOFR futures


Improved LIBOR Fallbacks

Dec 21, 2018: CME statement on improved IBOR fallbacks

Apr 10, 2019: CME paper reviews ISDA's fallback consultation and examines possible values of its credit spread as a function of measurement window and time period

Apr 25, 2019: The ARRC published recommended LIBOR fallback language for floating rate notes and syndicated loans

Q2 2019: ISDA derivatives fallback consultation for USD LIBOR

End 2019 or 2020: Improved and SOFR-based Fallbacks expected to be incorporated into ISDA 2006 Definitions

Cash & Derivatives Market Adoption

Apr 22, 2019: The ARRC published a "User's Guide to SOFR"

Apr 24, 2019: CME published a discussion document on 'Big Bang' SOFR Discounting & Price Alignment

May 1, 2019: Floating rate note issuance tied to SOFR reached $98 billion** (Issuance by tenor)

May 2019: CME to publish futures-derived SOFR strip rates

H2 2020: Expected transition to SOFR discounting and price alignment

End 2021: NY Fed is expected to publish indicative term rate (ARRC Paced Transition Plan)



Data as of May 6, 2019, unless otherwise specified
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). One ED/SR3 contract represents ~$1M notional. One FF/SR1 contract represents ~5M notional.
** Source: Bloomberg

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