CME TreasuryWatch Tool – User Guide

Overview

The CME TreasuryWatch Tool provides a quick and comprehensive overview of important market information in a clean, concise view. Elements of the tool are built in a robust manner that aggregates important data to provide an overview, while also granting the user the ability to perform detailed drill-down analysis. CME TreasuryWatch then allows the user to download information in an easily accessible PDF file for storage and retrieval.

The tool organizes data into nine unique elements and further sorts the elements into four related sections. The left-most section contains important market data and prevailing treasury yields, as well as observed volatility levels in the markets. This section also includes data from CME Group’s proprietary FedWatch tool and additional key short-term interest rates markets.

The middle section contains tenor-specific, color-formatted historic and future Treasury Auction Issuances in chart and table form. Below this, we provide a dynamically-updated and user-configurable Federal Reserve Balance Sheet asset view, which is updated as figures are released.

Immediately to the right of the Treasury Auction information, we have the Treasury Quarterly Coupon Issuance table. Prior issuance quarters have a white background while forecasted levels have a yellow background. Total gross and net coupon issuance by quarter is provided in the summation row at the bottom of this table. 

Just below this section, one can see important economic releases by date and links to other relevant debt issuance information. Economic data is dynamically updated and can be expanded to see results of this week’s announcements and additional results expected in the next few weeks.

Most elements in the CME TreasuryWatch Tool have additional features and drill-down functionality. These valuable tools are explained in more detail below.

1 – FedWatch target rate and probability

Rates and probabilities of FOMC rate moves for upcoming meetings, as provided by the CME FedWatch Tool, powered by QuikStrike are available here. Probabilities of possible Fed Funds target rates are based on Fed Fund futures contract prices, assuming that rate changes occur in 0.25% (25 basis points) increments and that the Fed Funds Effective Rate (FFER) will react by a like amount.

2 – Treasury yields

Display the Treasury Yield Curve for On-The-Run (ON TR) Cash Treasuries and the Treasury Futures Yield Curve based on the implied yields of each futures contract’s current Cheapest-to-Deliver (CTD) Treasury. These rates are provided by the CME Treasury Analytics Tool, powered by QuikStrike, available here.

Press to populate a graphical Treasury Futures Yield Curve as an additional viewing option.

3 – STIR yields

Display forward Short-Term Interest Rate (STIR) yields based on several benchmark CME STIR futures contracts. Rates covered in the table include those for Eurodollars, Fed Funds, 1-Month SOFR, and 3-Month SOFR futures. These rates are provided by the CME STIR Analytics Tool, powered by QuikStrike, available here.

Press to populate a new customizable graph which allows selection and de-selection of certain STIR futures across a flexible date range. 

4 – Volatility Index (CVOL)

Displays CME Group Volatility Index (CVOL) data for our benchmark interest rates products, derived from the liquid options on futures markets for each corresponding product. Information displayed contains the per product CVOL level, the one-day change in volatility, a five-day Lo/Hi trend, and the six-month Lo/Hi range. These rates are provided by CME CVOL, powered by QuikStrike, available here.

Press  to populate a new customizable graph which allows additional historical analysis.

5 – Treasury auction

This chart shows historical Treasury coupon issuance auctions by size and original security term, dating back to approximately 1980. Where available, the chart also includes bid-to-cover ratio for each Treasury auction. Data used in this display is sourced from the US Treasury Department.

Press  to populate a new customizable graph which allows selection and de-selection of Treasury security tenors, as well as a customizable date range. This allows the user to evaluate Treasury auction performance by their original security terms and historical issuance trends over time.

6 – FED balance sheet

This graphical display depicts historical levels of the US Treasury Marketable Debt alongside the Federal Reserve’s Balance Sheet Total Asset Size and several key breakdowns in the Federal Reserve’s Balance Sheet Securities Holdings. Data used in this display is sourced from the US Treasury Department and the Federal Reserve.

Press  to populate a new customizable graph which allows selection and de-selection of certain data series, as well as flexible date ranges to allow historical view back to approximately 1980 ‒ based on information available provided by the US Treasury and Federal Reserve.

7 – Gross coupon issuance

In this table, we summarize the recent and upcoming US Treasury security gross and net coupon issuances. Prior issuance quarters have a white background while CME Group forecasted levels have a yellow background and are as determined by our CME Financial Research and Product Development team. 

Press to populate a new table providing historical gross issuance going back to 2018.

8 – Debt issuance links and Fed balance sheet links

List of key resources for further information and data pertaining to the US Treasury Security Markets. These links provide users areas for further detail in how the Treasury is refunding its debt balances, projections for the US deficit, the Daily Treasury Statement for cash balances, detail regarding foreign holders of US Treasuries, gross domestic product (GDP) tracking, and more detail for further granularity regarding the Federal Reserve’s Balance Sheet.

9 – Economic releases

Table of upcoming economic events and key releases are accessible including previous, consensus, forecast, and actual data points. The listed events can be explored further by clicking the name, which will open a new window with more descriptive information and historical performance.

Press  for an in-depth table that provides a deeper list of the upcoming events and allows access to the previous, consensus, forecasts, and actual data points. Information in this table is provided by the CME Group Economic Event Analyzer Tool, which is powered by QuikStrike with data provided by Trading Economics

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