Exchange Recap
CME Group: Interest Rates Recap - June 2018

June 2018

SOFR Sets Record Pace for Short-Term Interest Rate (STIR) Futures Launch

In 19 trading days...

  • Over 60 participants have traded 36.4K contracts
  • ADV has accelerated to nearly 3K over the past 7 days
  • Open interest has grown to 11K contracts
  • IR term structure with tight quotes out to 2020
  • Bid/Ask spreads consistently 0.5 basis points wide (minimum tick)
  • Over 12 market makers providing liquidity
  • Access historical fixings and basis spread analytics

2018-06-rates-recap.jpg

Comparing STIR futures during first 4 weeks of trading
  SOFR Eurodollars Fed Funds
Launch Date May 7, 2018 Dec 9, 1981 Oct 3, 1988
Total Volume 36.4K contracts 17K contracts 8K contracts
Open Interest 11K contracts 1.5K contracts 2.2K contracts

SOFR Home

Block Market Maker Contracts


Coming June 11: Eurodollar Term Mid-Curve Options

In response to client demand, CME Group will list 3-month, 6-month and 9-month Eurodollar Mid-Curve options for first trade date Monday, June 11:*

Product Details

  • Benefit: Trade short-dated options on the 2nd, 3rd, and 4th quarterly GE futures
  • Listings: Two serials and one quarterly option listed at a time
  • Symbols: TE2, TE3, TE4

Single-Day Volume Record of 39.6M Contracts

The Liquidity You Need At Any Point Along the Curve

On May 29, amidst a flurry of economic and geopolitical concerns, participants facilitated unprecedented risk transfer across the entire yield curve via CME Group's deeply liquid Interest Rate products. Product volume records:

  • 24M Treasury futures
  • 8.9M 10-Yr futures
  • 7.6M 5-Yr futures
  • 4M 2-Yr futures
  • 1.1M Ultra 10-Yr futures (just over 2 years since launch)
  • 1.2M Fed Fund futures
  • 1.6M T-Bond futures

View May 29 Infographic

CME FedWatch Rate Hike Probabilities

  150-175 bps 175-200 bps 200-225 bps 225-250 bps
6/13 3.7% 96.3% 0.0%  
9/26 0.9% 25.8% 71.8% 1.5%
12/19 0.4% 12.8% 46.8% 36.5%

Probabilities as of June 4, 7:30 am CT

CME FedWatch Tool

2-Year Note Futures Tick to Be Reduced by Half, Effective January 13, 2019

Prompted by client demand, broad market validation, and analysis of resting liquidity, CME Group will reduce the minimum price increment for 2-Year Treasury Note futures by half, effective January 13, 2019, pending certification of contract rule amendments with the CFTC and completion of all regulatory review periods.

Client Impact Assessment

 

Data through April 30, 2018, unless otherwise specified / *Data as of April 30, 2018

View the current version and an archive of the Rates Recap online at cmegroup.com/ratesrecap.

Further information:

If you would like to find out more about this, please contact marketing@ghfinancials.com