October Rates Recap

Introducing CME TreasuryWatch

With the backdrop of historic debt levels and record Treasury issuance, and building on the success of the CME FedWatch and CME BoEWatch tools (and several other QuikStrike tools), we've launched the CME TreasuryWatch tool, sharing a comprehensive framework for assessing the world's most important government bond market:

  • Track and chart recent, historical, and forecasted Treasury auction sizes by tenor and by gross coupon issuance.
  • View cash on-the-run yields, futures CTD forward yields, and STIR futures yields.
  • View upcoming high-impact US economic events. 
  • Interactive charting puts the Fed's balance sheet alongside UST marketable debt at your fingertips like never before.
  • Quickly access key industry resources from the US Treasury, Federal Reserve, CBO, IMF, and OECD.

EFP data shows Treasury basis is alive and well

  • EFPs (Exchange for Physical) are an efficient transaction type for spreading futures vs. cash and a fair proxy for measuring Treasury basis activity.
  • While off the Q1 highs, the % of Treasury futures traded via EFP remains above historical levels.
  • EFP activity has shifted notably out the curve with long-end contracts (TN, ZB, UB) accounting for 37% of EFP volume in Q3, up from 30% in Q1 and 22% in Q3 2019.
  • When adjusted by DV01 risk transfer, Treasury EFP volume is up 11% vs. 2019's record levels.

Source: CME Group

More on EFPs


Steady growth for 3-Year UST futures

Month three highlights:

  • Average daily open interest +69% MoM to 7,458 contracts
  • Global participation expanded to 77 participants
  • ADV of 4,708 contracts
  • RV trading via Globex-listed curve spreads accounted for 19% of volume

Read: Record issuance and robust cash volumes underscore the need for 3-Yr futures


NOW LIVE: Fed Funds Enhancements

  • Listings extended to 60 consecutive months
  • Strips pricing amended to an average price of legs
  • Three 12-month annual strips listed as an efficient mechanism for replicating OIS, with liquidity available in the front two 1-year strips.

Learn more

CME SOFR futures accelerate ahead of discounting transition and key industry milestones

CME SOFR futures liquidity deepened in September with institutional participation ramping up ahead of key industry milestones:

  • Global participants, including asset managers, hedge funds, banks, PTFs, and others, together representing 85% of trading volume in Eurodollars and 90% of trading volume in Fed Funds, are now trading SOFR futures.
  • Volume topped 55K contracts per day, +30% MoM (chart).
  • Open interest climbed to 420K contracts, +27% since Sep 3 (despite nearly 30K contracts rolling off with the SR3M0 expiration). 
  • Large OI holders grew to 148, including a record 69 in SR3**.
  • Packs and bundles accounted for 13% of volume.
  • RV trading vs. Eurodollars and Fed Funds increased 22% MoM.
  • SOFR Swaps volume reached $22B (chart).
  • SOFR FRN issuance was $34B*** (chart).

Key Industry Milestones Ahead:


NOW LIVE: SOFR Swap futures

SOFR-based Swap futures offer an efficient and standardized way to trade SOFR swaps.

Eris SOFR Swap futures

  • Tenors: 1Y, 2Y, 3Y, 4Y, 5Y, 7Y, 10Y, 12Y, 15Y, 20Y, 30Y
  • Replicate the cash flows of vanilla OTC SOFR OIS, including annual fixed payments at a pre-determined rate, and annual floating payments based on daily compounded SOFR. 
  • Option to hold contracts until final maturity (up to 30 years), both avoiding rolls and enabling hedge accounting applications previously reserved for swaps.

 Eris SOFR contract specs
 Eris SOFR data

MAC SOFR Swap futures

  • Tenors: 2Y, 5Y, 7Y, 10Y, 20Y, 30Y
  • At expiration: all open positions deliver into CME Group Cleared SOFR swaps
  • Settlement: Physical delivery of IRS that meets delivery standard

 MAC SOFR Swap futures


Data as of September 30, 2020, unless otherwise specified
*Pending regulatory approval
**Source: September 15, 2020 CFTC Commitments of Traders Report
***Source: Bloomberg