June 2016 Rates Recap

New CME Group Report: The New Treasury Market Paradigm

Market commentators have observed that liquidity in Treasury futures has become comparable, if not superior, to liquidity in the cash Treasury securities market as demand for off-balance-sheet Treasury exposure continues to increase.

This paper applies external sources to examine the evolution of liquidity in both cash and futures markets as well as other important factors such as settlement fails in cash Treasuries.

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Total Cost Comparison of Cleared Swaps and Futures

Total Cost Analysis (TCA) Tool

Use CME Group's quantitative tool to quickly analyze all-in costs (liquidity impacts, transaction fees and capital implications) of futures vs. cleared OTC instruments for:

  • Interest Rate swaps
  • CBOT Treasury futures
  • CME Eurodollar futures
  • CBOT Deliverable Swap futures

Greenwich Associates TCA Whitepaper

Based on conversations with over 40 market participants and the use of quantitative modeling, Greenwich Associates believes that, over the medium and long term, futures products will gain traction at the expense of more standardized cleared swaps.


CME Globex Support for Intercommodity Spreads (ICS) in Treasury Options

Effective Sunday, July 10, CME Globex will support creation of options strategies in select options tenors, allowing customers to improve execution of these relative value trades. For example, buying an FV straddle and selling equivalent TY straddles.

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Market Eyes June FOMC Decision

The CME Group FedWatch Tool, which shows the implied probability of a rate hike based on prices of 30-Day Fed Fund futures, is now projecting a 17% likelihood of a rate hike in June.

View FedWatch Tool


Ultra 10 Futures Set Records as Options Open Interest Increases

Ultra 10 Futures Performance:

  • 195K contracts traded on May 26
  • May ADV reaches 71K
  • Open interest climbs to 175K
  • 4.6M contracts traded since Jan 11 launch

Growing Customer Base: 275+ global trading participants

Ultra 10 Options: Open interest is above 1,000, with trading in July and August expirations, across nine different strikes

Learn More About Ultra 10


Bloomberg Support for CME-Specific Swap Rates

Bloomberg Terminal users now have the ability to calculate CME-Specific Swap Rates on the Swap Manager (SWPM) and Invoice Spread Analysis (IVSP) pages.

Learn More

Read More Reports

View Rates Recap for previous months over the last year.

See archived reports.