The CME TreasuryWatch Tool, powered by QuikStrike, provides a quick and comprehensive overview of important market information in one clean, concise view.
The tool consists of nine components organized to provide a summary view, while also offering the ability to perform detailed, drill-down analysis.
Fed Watch target rate and probability
This section provides rates and probabilities of FOMC rate moves for upcoming meetings, as provided by the CME FedWatch Tool. Probabilities of possible Fed Funds target rates are based on Fed Fund futures contract prices assuming that rate changes occur in 25 basis point increments and that the Fed Funds Effective Rate will react by a like amount.
This section displays the Treasury Yield Curve for On-The-Run Cash (ON TR) Treasuries and the Treasury Futures Yield Curve, based on the implied yields of each futures contract’s current cheapest-to-deliver (CTD) Treasury giving side-by-side insight into on-the-run vs. futures yields.
These rates are provided by the CME Treasury Analytics Tool, also powered by QuikStrike.
The “STIR Yields” display forward short-term interest rate yields based on several benchmark STIR futures contracts.
Provided by the CME STIR Analytics tool, rates covered in the table include those for Eurodollars, Fed Funds, 1-Month SOFR, and 3-Month SOFR futures allowing you to view implied yield history between the different products. The chart can be customized by contract or date range.
Volatility Index (CVOL)
CVOL provides data from the CME Group Volatility Index for our benchmark interest rate products, derived from the liquid options on futures markets for each corresponding product – allowing you to easily track volatility trends.
The Treasury auction provides 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. Sourced from the US Treasury Department data, the Auction tool preview defaults to 5- and 10-year tenors. Users can view a more in-depth chart offering the flexibility to select additional Treasury tenors and timeframes. Allowing the user to view, customize, and evaluate Treasury auction performance by their original security terms and historical issuance trends over time.
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. The chart can be customized by data series and/or date ranges. Data used in this display is sourced from the US Treasury Department and the Federal Reserve.
Gross coupon issuance
In this table, the recent and upcoming US Treasury security gross coupon and net coupon issuances are summarized. In the expanded view, prior issuances have a grey background, yellow fields indicate the amounts announced while CME Group forecasted levels have a white background.
Debt issuance links and Fed balance sheet links
In the next section, using the debt issuance and Fed balance sheet links, key resources for additional information and data relevant to the US Treasury Security Markets are available.
Through economic releases, users can view upcoming economic events and key releases. A detailed economic event calendar can be displayed showing previous, consensus, forecasts, and actual data points.
The CME TreasuryWatch home screen can also be downloaded into an easily accessible PDF file for storage and retrieval. The CME TreasuryWatch Tool consolidates multiple sources of US Treasury markets data and information into one tool – providing important market information at your fingertips.
Check out the tool here.