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JULY 2023: ERIS SOFR Reaches New Record, Boosted By Margin Efficiencies

  • Eris receives portfolio margining offsets with CME Group interest rate products, effective May 2023.
  • Eris SOFR Open Interest surpasses 170K contracts, setting a new record.
  • Order book depth has increased by more than 120% in DV01 from January to June. 
  • Bid/ask spreads for 10-year Eris SOFR swap futures have shrunk by 46% in the same time frame. 
  • Record volume achieved in June with over 10,000 contracts trading each day on average. 


JUNE 2022: CME Group to Launch First-Ever TBA Futures For Mortgage Backed Securities Market

  • Physically delivered monthly futures on 30-Year Uniform Mortgage-Backed Securities (UMBS) TBAs are fulfilled by delivery of TBAs cleared by FICC’s Mortgage-Backed Securities Division, a subsidiary of DTCC.
  • The futures represent 30-year residential mortgages pooled into UMBS products backed by Fannie Mae and Freddie Mac.
  • The 30-Year UMBS TBA futures will be cleared by CME Clearing and receive automatic margin offsets against existing interest rate futures upon launch. These contracts will become eligible for portfolio margining against other cleared interest rate swaps and futures after launch.


JANUARY 2022: CME Group to Launch 20-Year U.S. Treasury Bond Futures

  • The new 20-Year U.S. Treasury Bond futures will allow for delivery of original issue 20-year U.S. Treasury bonds
    with remaining terms to maturity at delivery of at least 19 years 2 months and not more than 20 years.
  • The 20-year Bond future will receive margin offsets against existing interest rate futures


OCTOBER 2021: Portfolio Margining of Eris SOFR-based Swap Futures – Effective October 20, 2021

  • CME is expanding its portfolio margining offering for IRS products to include Eris SOFR-based Swap Futures in addition to existing eligible products: Eurodollar Futures, Fed Funds Futures, Treasury Futures, Deliverable Swap (MAC) Futures, SOFR Futures and several Options on Eurodollar Futures.
  • List of portfolio margin eligible in-scope Eris SOFR-based Swap Futures products: YIA, YIB, YIC, YIT, YIW, YIY, YIL, YID, YII, YIO, YIE


OCTOBER 2021: ICE Introducing the U.S. Residential Mortgage Rate Lock Index Series

  • The ICE U.S. Residential Mortgage Rate Lock Index Series (“Rate Lock Indices”) is a new series of indices using data from loan applications processed by ICE Mortgage Technology. The Rate Lock Indices are designed to track the average rate at which new residential home loans are locked each day, with additional detail such as average APR, FICO and LTV.


MAY 2021: CME Group to Launch Bloomberg Short-Term Bank Yield Index (BSBY) Futures in Q3

  • CME Group today announced it will launch interest rate futures based on the Bloomberg Short-Term Bank Yield Index (BSBY). These new contracts will be available for trading in Q3, with OTC clearing of BSBY swaps introduced in Q4, pending regulatory review.
  • CME’s launches of BSBY futures in Q3 – and cleared BSBY swaps in Q4 – will complement their existing short-term interest rate futures and Term SOFR index products, providing global market participants with a suite of capital-efficient risk management tools to manage their interest rate exposures going forward.


OCTOBER 2020: Banks Brace for ‘Big Bang’ Switch on $80 Trillion Worth of Swaps

  • It’s being called the “big bang,” and it has derivatives traders on high alert. In a critical development in the global shift away from old benchmarks that was triggered by Libor’s shortcomings, interest-rate swaps on more than $80 trillion in notional debt will transition this weekend to a new rate for determining their value.


FEBRUARY 2020: LIBOR Transition: If You’re in Neutral on SOFR, You’re Probably Falling Back

  • CHUCK BROBST  |  This article urges banks – while there is still time – to incubate their activities in SOFR or other alternative reference rates, whether that means a “SOFR-plus” approach, Ameribor, OBFR, etc. Here’s why your bank should launch alternative rate lending now….


DECEMBER 2019:  Industry Letter: Request for Assurance of Preparedness for LIBOR Transition

  • To the CEO or the Equivalent of Regulated Institutions: As you may know, the United Kingdom’s Financial Conduct Authority announced in 2017 that it would no longer compel LIBOR panel banks to furnish data to support the determination of the reference rate known as the London Interbank Offered Rate (LIBOR) after 2021. As a result, LIBOR is unlikely to continue past the end of 2021. Efforts in the US to create reference rate alternatives are underway, as discussed below. Your institution should be carefully following these developments. 


MAY 2019 – Building a Better LIBOR

  • The Federal Reserve Bank of New York recently decided to revise the composition of the Overnight Bank Funding Rate (OBFR), a reference rate measuring the cost banks face to borrow overnight in unsecured U.S. dollar-denominated money markets. Specifically, in addition to the federal funds and Eurodollar transactions currently comprising the OBFR, the OBFR now also includes overnight, interestbearing demand deposits (at rates negotiated between the counterparties and excluding deposits payable on demand) booked within banks’ U.S. offices, known as “selected deposits.” In this post, we discuss the change in more detail, the reason for including selected deposits, and the likely impact on the OBFR’s published values.


JULY 2018 – Final Phases of Initial Margin Requirements

  • On July 19, 2018, the International Swaps and Derivatives Association (ISDA) and the Securities Industry and Financial Markets Association (SIFMA) published a white paper entitled “Initial Margin for Non-Centrally Cleared Derivatives: Issues for 2019 and 2020” (White Paper) The White Paper addresses the “significant challenges” swap dealers face in implementing the federal banking regulator (Prudential Regulator) and CFTC initial margin (IM) regulations for uncleared swaps with their counterparties and urges swap dealers to develop strategies for compliance immediately.




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