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