CME Group Embraces ERCOT Trading

The CME ("Where risk meetings opportunity") has initially listed 53 electricity futures and options on ERCOT, effective 31 August 2026.

These are purely financial contracts - with the futures financially settled, and options exercised into financial futures. 

Example contracts include:

ERCOT North 345KV Real-time Peak Monthly 1MW Futures (NRK) 

Brent Premium is 3.40 over WTI

Premium reflective of the November 2021 (X) futures contract. As might be guessed by the high levels and spreads, both curves are currently backwardated.

Brent is at almost 72 dollars a barrel and WTI is just under 68.5 dollars a barrel.

WTI October (V) is still trading; at a slight premium (24 cents) to November (X).

For a quick recap of month codes check out the CME Group's contract code table.

Let's Get Physical - Trading The Cal Emissions Market on the CME

From February 27th 2017 -

The CME is offering up the chance to go long the California Emissions Market through futures and options. The product name is CA ETS (California Emissions Trading Scheme).

One future represents physical delivery of a thousand Co2 California Carbon Allowances.

Each allowance is an entitlement to emit one metric ton of carbon dioxide equivalent gas. Settlement takes place on a T+2 basis on the California Market Tracking System (MTS).

One future, one thousand metric tons of Co2.

Options are European, and settle into a single future (or one thousand allowances).

What Kinds of Volumes are Being Done on Cleared Interest Rate Swaps?

Volumes Compared by Currency

The CME Group's clearing solution for interest rate swaps is doing considerable volume.

For trade date February 26, 2016, $21.6 billion of swaps were traded, with $12.5 trillion open interest.  Dollar and Euro are trading around parity (with the Euro being slightly more valuable), so that's a 20 bn EUR equivalent trading volume.

Euro swaps traded only 5.2 billion euros worth in comparison. So the volume of USD swaps is approximately four times as large.

Swaps on GBP actually exceed USD swaps in trading volume terms, for the same day, 24 billion pounds traded, which is around $34 bn (which is about 1.5x larger).

Cleared Swaps on Different "Flavours of LIBOR"

The CME clear swaps on USD Libor, Euribor and plain old "LIBOR" (which is GBP LIBOR of course) as well as host of other currencies.

Where Are Rates At - USD Libor

Friday's level for USD Libor Overnight was 37 basis points.  1 month is 43 basis points and 3 month USD Libor is 63 bps. A daily update on USD Libor levels can be found here. 1year USD Libor is 116 basis points.

"Regular" LIBOR

Overnight is 48bps, 1 month is 50 bps, and 3 months is 59 bps. 1 year LIBOR is close to 100 bps.

Who sets the LIBOR Rates

The former BBA Libor is now known as ICE Libor following the reform of the benchmark and management by ICE Benchmark Administration.  The Wheatley Review of LIBOR in 2012 made specific recommendations for the reform of LIBOR including a change of administration.  Under a tender process led by Baroness Hogg, the NYSE Euronext came up trumps (later renamed to ICE Benchmark Administration). Both administering and making submissions to LIBOR became regulated activities from 1 April 2013 - LIBOR being the first benchmark to be regulated.

As part of their activities, ICE has a dedicated surveillance team identifying breaches of submission standards and tolerances through "a combination of alerts and pattern matching".

Other Benchmark Rates administered by ICE

The ICE Swap Rate is the new replacement for ISDAFIX effective August 2014. ICE also now administer the LBMA Gold Price.

The Greatest Volume of Swaps

Interest Rate Swaps, followed by Overnight Indexed Swaps followed by basis swaps.