© 2020 CME Group. All rights reserved. CME GROUP PUBLIC
INTEREST RATES CHART BOOK
2019
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC
• Interest Rates complex- Volume and average daily open interest- Historical open interest- Large open interest holders (LOIH)
• US Treasuries- UST futures and options volume and open interest- Top 20 volume days- Historical open interest- Ultra 10-Year Treasury Note futures- 2-Year note post-tick cut- Treasury inter-commodity spreads- Weekly Treasury options- Invoice swap spreads
• STIRs- Eurodollars- Fed Funds- SOFR- STIR inter-commodity spreads
• Swap futures
Table of contents
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC
Interest Rate complex
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 4
2019 a fourth consecutive record year
-
10,000,000
20,000,000
30,000,000
40,000,000
50,000,000
60,000,000
70,000,000
80,000,000
90,000,000
100,000,000
-
2,000,000
4,000,000
6,000,000
8,000,000
10,000,000
12,000,000
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Aver
age
Dai
ly O
pen
Inte
rest
Aver
age
Dai
ly V
olum
e
Interest Rates volume and open interest
Futures ADV Options ADV Open Interest
www.cmegroup.com/rates
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 5
Open interest climbed to an all-time high of 110M contracts in June 2019
110,729,389
0
20,000,000
40,000,000
60,000,000
80,000,000
100,000,000
120,000,000
2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Interest Rate futures and options open interest
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 6
Large open interest holders remain near all-time highs
800
1,000
1,200
1,400
1,600
1,800
2,000
2,200
2,400
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
CME Group Interest Rate FuturesAggregate Number of Large Open Interest Holders*
*Source: CFTC
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC
US Treasuries
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 8
Treasury futures achieved a fourth consecutive record year in 2019
-
2,000,000
4,000,000
6,000,000
8,000,000
10,000,000
12,000,000
14,000,000
16,000,000
-
500,000
1,000,000
1,500,000
2,000,000
2,500,000
3,000,000
3,500,000
4,000,000
4,500,000
5,000,000
Yea-
end
Ope
n In
tere
st
Aver
age
Dai
ly V
olum
e
Treasury futures volume and open interest
2-Yr 5-Yr 10-Yr Ultra 10-Yr T-Bond Ultra T-Bond Open Interest
www.cmegroup.com/treasury
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 9
Treasury options volume grew to third consecutive record in 2019
-
1,000,000
2,000,000
3,000,000
4,000,000
5,000,000
6,000,000
7,000,000
-
200,000
400,000
600,000
800,000
1,000,000
1,200,000
Year
-end
Ope
n In
tere
st
Aver
age
Dai
ly V
olum
e
Treasury options volume and open interest
2-Yr 5-Yr 10-Yr Ultra 10-Yr T-Bond Ultra T-Bond Options OI
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 10
Half of the top 20 all-time volume days occurred in 2019
0
2,500,000
5,000,000
7,500,000
10,000,000
12,500,000
15,000,000
17,500,000
20,000,000
22,500,000
25,000,000
29-M
ay-1
8
28-M
ay-1
9
27-A
ug-1
9
25-N
ov-1
9
27-N
ov-1
8
29-M
ay-1
9
25-F
eb-1
9
26-F
eb-1
9
28-N
ov-1
8
28-A
ug-1
8
26-F
eb-1
8
26-N
ov-1
9
26-A
ug-1
9
27-N
ov-1
7
23-F
eb-1
7
24-M
ay-1
8
23-M
ay-1
9
28-N
ov-1
7
28-A
ug-1
9
29-M
ay-1
3
1234567891011121314151617181920
Con
tract
s tra
ded
Treasury futures top 20 volume days
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 11
Treasury futures open interest climbed to a record 16.6M contracts
16,649,226
0
2,000,000
4,000,000
6,000,000
8,000,000
10,000,000
12,000,000
14,000,000
16,000,000
18,000,000
1978
1979
1980
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
Con
tract
s
Treasury futures historical open interest
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 12
Treasury futures composition of open interest
0
2,000,000
4,000,000
6,000,000
8,000,000
10,000,000
12,000,000
14,000,000
16,000,000
18,000,000
2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Con
tract
s
Treasury futures open interest
ZT ZF ZN TN ZB UB
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Ultra 10-Year Note futures (TN) continue to play a larger role in portfolios
0.0%
1.0%
2.0%
3.0%
4.0%
5.0%
6.0%
7.0%
2016 2017 2018 2019
TN % of Treasury futures open interest
-
100,000
200,000
300,000
400,000
500,000
600,000
700,000
800,000
900,000
1,000,000
-
50,000
100,000
150,000
200,000
250,000
2016 2017 2018 2019
Year
-end
Ope
n In
tere
st
Aver
age
Dai
ly V
olum
e
TN volume and open interest
Average Daily Volume Open Interest
www.cmegroup.com/ultra10
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 14
Outsized growth in 2-Year Note futures (ZT) following tick reduction
0
500,000
1,000,000
1,500,000
2,000,000
2,500,000
3,000,000
3,500,000
4,000,000
4,500,000
5,000,000
Jan-17 Jan-18 Jan-19
2-Year Note futures open interest
01/14/19 – ZT minimum tick reduced by half to 1/8 of 1/32
0%
2%
4%
6%
8%
10%
12%
14%
16%
18%
-
100,000
200,000
300,000
400,000
500,000
600,000
700,000
800,000
2013 2014 2015 2016 2017 2018 2019
2-Yr
as
a %
of t
otal
UST
futu
res
volu
me
Aver
age
Dai
ly V
olum
e
2-Year Note futures average daily volume
2-Yr 2-Yr % of Treasury futures ADV
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Treasury futures yield curve trading continues to grow
0
20,000
40,000
60,000
80,000
100,000
120,000
140,000
2015 2016 2017 2018 2019
Treasury futures Inter-Commodity Spreads (ICS)
ADV (Spreads) ADV (Contract Legs)
www.cmegroup.com/ics
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 16
Record year for Weekly UST options, especially around economic events
0%
5%
10%
15%
20%
25%
-
50,000
100,000
150,000
200,000
250,000
2011 2012 2013 2014 2015 2016 2017 2018 2019
Wee
klie
s %
of T
otal
UST
opt
ions
vol
ume
Aver
age
Dai
ly V
olum
e
Weekly Treasury options
Friday Weekly Wednesday Weekly Weeklies % of Treasury options
www.cmegroup.com/wto
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 17
Invoice swaps (packaged trades between swaps and UST futures) +27%
$2B
$5.7B
$7.3B
$6B $6.5B
$9.2B
$12B
$16.2B notional
0
20,000
40,000
60,000
80,000
100,000
120,000
2012 2013 2014 2015 2016 2017 2018 2019
Con
tract
s pe
r day
Invoice Swap Spreads average daily volume
www.cmegroup.com/invoicespreads
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC
STIRs
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 19
Eurodollars surpass 1 billion contracts traded for second consecutive year
0
200,000,000
400,000,000
600,000,000
800,000,000
1,000,000,000
1,200,000,000
1981
1982
1983
1984
1985
1986
1987
1988
1989
1990
1991
1992
1993
1994
1995
1996
1997
1998
1999
2000
2001
2002
2003
2004
2005
2006
2007
2008
2009
2010
2011
2012
2013
2014
2015
2016
2017
2018
2019
Annu
al v
olum
e (C
ontra
cts)
Eurodollar futures and options annual volume
Futures Options
www.cmegroup.com/eurodollars
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 20
Open interest climbed to an all-time high of 84M contracts in June 2019
84,560,455
0
10,000,000
20,000,000
30,000,000
40,000,000
50,000,000
60,000,000
70,000,000
80,000,000
90,000,00019
8219
8319
8419
8519
8619
8719
8819
8919
9019
9119
9219
9319
9419
9519
9619
9719
9819
9920
0020
0120
0220
0320
0420
0520
0620
0720
0820
0920
1020
1120
1220
1320
1420
1520
1620
1720
1820
19
Eurodollar futures and options historical open interest
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 21
Record trading in Eurodollar options across three venues
0%
5%
10%
15%
20%
25%
30%
35%
40%
-
200,000
400,000
600,000
800,000
1,000,000
1,200,000
1,400,000
1,600,000
1,800,000
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
Eurodollar options annual ADV by venue
CME Globex Pit Blocks % Electronic
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 22
Record trading in Fed Funds futures amidst rate uncertainty and cuts
-
500,000
1,000,000
1,500,000
2,000,000
2,500,000
-
50,000
100,000
150,000
200,000
250,000
300,000
350,000
400,000
2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019
30-Day Fed Funds futures volume and open interest
Average Daily Volume Average Daily Open Interest
www.cmegroup.com/ff
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 23
SOFR futures gaining momentum as participation broadens
-
100,000
200,000
300,000
400,000
500,000
600,000
700,000
-
10,000
20,000
30,000
40,000
50,000
60,000
70,000M
ay-1
8Ju
n-18
Jul '
18Au
g '1
8Se
p '1
8O
ct '1
8N
ov '1
8D
ec '1
8Ja
n '1
9Fe
b '1
9M
ar '1
9Ap
r '19
May
'19
Jun
'19
Jul '
19Au
g '1
9Se
p '1
9O
ct '1
9N
ov '1
9D
ec '1
9
SOFR futures volume and open interest
Average Daily Volume Month-End Open Interest
0
20
40
60
80
100
120
140
160
180
SOFR futures large open interest holders
Source: CFTC
www.cmegroup.com/sofr
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 24
SOFR adds exciting new money market spreading opportunities
0%
5%
10%
15%
20%
25%
30%
35%
40%
45%
50%
0
5,000
10,000
15,000
20,000
25,000
30,000
Jan '19 Feb '19 Mar '19 Apr '19 May '19 Jun '19 Jul '19 Aug '19 Sep '19 Oct '19 Nov '19 Dec '19
Spre
ad %
of T
otal
SO
FR v
olum
e
Aver
age
daily
vol
ume
SOFR spreads vs. Eurodollars and Fed Funds
Globex ADV Block ADV Spread % of Total
www.cmegroup.com/ics
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC
Swap futures
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC 26
Eris Swap futures thriving on CME Globex
0
50,000
100,000
150,000
200,000
250,000
0
1,000
2,000
3,000
4,000
5,000
6,000
7,000
8,000
2017 2018 2019
Aver
age
Dai
ly O
pen
Inte
rest
Aver
age
Dai
ly V
olum
e
Eris Swap Futures volume and open interest
Average Daily Volume Average Daily Open Interest
Eris Swap Futures transitioned to CME Group in Dec. 2018
© 2020 CME Group. All rights reserved. CME GROUP PUBLIC
Disclaimer
All data sourced from CME Group, unless otherwise specified.
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