Rates Recap – July 2019

HIGHLIGHTS

  • Record use of extremely liquid CME Eurodollar and Treasury Options, and Eurodollar and Fed Fund Futures for risk management in times of interest rate uncertainty
  • Participation and open interest reach new highs in CME SOFR Futures
  • Eurodollar Futures ADV: 3.9M, +55% YoY
  • Record Fed Funds Futures ADV: 588K, +112% YoY

EURODOLLAR OPTIONS

  • Record ADV: 3.17M, +159% YoY
  • Record Electronic ADV 1.1M (606K during European and Asian hours)
  • Record Block ADV: 538K
  • Record Open Interest: 71M contracts on 13 Jun 2019

TREASURY OPTIONS: 2 expirations every week (Wed and Fri)

  • ADV: 1.1M, +17% YoY
  • Electronic ADV: 877K (253K during European and Asian hours)

SOFR FUTURES

  • Open Interest reached new high of 168K contracts ($533B notional) with record 99 OI holders in Jun
  • Floating-rate note issuance hit a record $36B in June** (source Bloomberg)
  • 27 institutions have issued $148B since Fannie Mae’s inaugural SOFR notes in June 2018