CME Group: Interest Rates Recap - November 2019
SOFR futures OI tops 500K contracts
Aided by an influx of new participants and continued usage in repo market applications, open interest in CME SOFR futures grew to 508K contracts ($1.9T notional*) in October on average daily volume of 44K contracts.
- Participation deepened to 300+ global participants
- Large open interest holders hit a new high of 138 in the Oct. 29 CFTC COT report
- Relative value trading vs. Fed Funds and Eurodollars accounted for 30% of SOFR volume
- Now available: Monthly expiries (SR1) out 13 months, quarterly expiries (SR3) out ten years.
SOFR options details announced
- Launching Jan. 6, 2020, pending regulatory review
- Listings and contract specs now available
- Available for testing in new release starting Nov. 4.
View listings and contract details
Cleared SOFR swaps accelerate at CME
- In October, CME cleared a record $8.7B notional
- To date, 13 banks and 7 clients have cleared $21.7B in SOFR OIS and basis swaps at CME.
Webinar: LIBOR fallbacks methodology for Eurodollar futures and options
Join us on Nov. 12 as we outline our proposed methodology for LIBOR fallbacks in CME cleared-products, with a special focus on Eurodollar futures and options.
NEW Bloomberg Capital Markets Package (BCMP)
Access more comprehensive interest rate derivative price discovery data with the new Bloomberg Capital Markets Package, offering:
- Widely sought-after swaps data from Trad-X, Tradition’s multi-asset electronic trading platform for OTC derivatives
- Treasury data from BrokerTec, our market-leading electronic platform for trading US Treasuries.
New tool: Margin offsets made easy
View margin offsets for all Interest Rate products within a single matrix, making it easier than ever to maximize your capital.
Some notable margin offsets include:**
- Treasuries vs. SOFR: 80%
- Fed Funds vs. SOFR: 75%
- Eurodollars vs. SOFR: 65%
- Rates vs. S&P 500: 50%
- Rates vs. Gold: 50%
- Rates vs. JPY/USD: 50%.
Data as of October 31, 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).
**Cross product margin credit values are indicative only and are subject to change. For an official listing of CME Group cross-product margin credits, please visit CME Group Margins
View the current version and an archive of the Rates Recap online at cmegroup.com/ratesrecap.
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