November Rates Recap

Treasury Futures Volume Hits 90% of the Underlying Cash Market*

Driven by record gains in liquidity and buy-side participation:

  • Treasury futures notional volume as % of cash Treasury volume:
    • +13% YoY
    • +34% since 2012
  • Avg Large Open Interest Holders +44% vs 2012**
  • Avg daily open interest +91% vs 2012

Discover The New Treasury Market Paradigm


Understanding Treasury Futures

Gain an in-depth overview of the fundamentals of trading U.S. Treasury futures, with the newest edition of our most popular whitepaper, which features updated data and an all-new section comparing Treasury futures to Treasury notes.

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Using Treasury Futures as an Efficient Alternative to Cash Treasuries

We compared returns of investing in CTD Treasury notes to earning income by establishing long 10-year Treasury futures (Globex: ZN, Bloomberg: TY) positions (which requires investment of initial margin only) and investing excess cash at overnight repo rates.

Treasury futures provide a means to nearly identical returns to Treasury notes, with the added benefit of capital and operational efficiencies.

View Full Study on Page 17


Data through October 31, 2017, unless otherwise specified.

*Cash data sourced from NY FRB. Reported as a 52-wk moving average through 10/18/17.

**Large Open Interest Holders sourced from CFTC’s Traders in Financial Futures Report

Fed Outlook: What to Expect with Powell at the Helm

Blu Putnam, Chief Economist

Jerome Powell, a former private equity executive with the Carlyle Group and a member of the Board of Governors of the Federal Reserve System (Fed) since 2012, has been nominated to be the new Chair of the Board.

This appointment provides continuity for the Fed; however, there will be differences compared to the Yellen-led Fed. Jay Powell is likely to be more friendly to the Republican philosophy of less regulation than Janet Yellen would have been.

On the interest rate front, this move puts a businessman at the head of the Fed instead of an economist. Economists have dominated the Fed since the appointment of Professor Arthur Burns back in 1970.

Assuming Janet Yellen resigns her seat on the Board of Governors, the Republican Administration will have four more board members to appoint, and this could provide a strong signal of a change in culture away from economic theory and in favor of a business-driven bias toward worrying about the private and public debt load the economy carries and hence keeping short-term rates lower than an economist-led Fed might have done.

Yellen’s four-year term was crisis-free, but Volcker, Greenspan, and Bernanke all faced major financial market crises on their watches. We wish Powell all the best.

CME FedWatch

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