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.

CME TreasuryWatch organizes data into eight unique elements and further sorts the elements into three related columns. The left-most column contains important market data and dynamically updates Federal Reserve Balance Sheet asset figures as released. This column also includes CME Group’s proprietary FedWatch tool and key market interest rates.

The middle column contains tenor-specific, color formatted historic Treasury Auction Issuance in chart and table form. Within the Gross Coupon Issuance table, prior issuance amounts have a grey background while CME Group forecasted levels have a white background. Total gross coupon issuance by month is provided in the right-most column in the table view.

The right-most column contains important economic releases by date, as well as links to other relevant debt issuance information. Economic date is dynamically updated.

Most elements in the CME TreasuryWatch Tool have additional features and drilldown 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, 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 – 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.

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 – Gross coupon issuance

In this table we summarize the recent and upcoming US Treasury security gross coupon issuances. Grey fields in this table represent actual amounts issued and white fields indicate announced or projected issuances as determined by our CME Financial Research & Product Development team. 

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

7 – Economic releases

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

Press for a more in-depth table that provides a deeper list of the upcoming events and then 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

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.

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