In their third week, 3-Year Treasury futures volume grew 79% over the prior week. This volume growth is a result of broad-based participation, as well over 50% of participants are global banks and buy-side firms.
With the federal budget deficit projected to swell to a record $3.7T this year, Treasury coupon issuance is unprecedented.
In a new white paper, we explore the state of Treasury issuance in 2020, including:
On July 27, CME Group implemented the following changes to the committed cross protocol, which has seen growing usage in Interest Rate options.
Effective September 21, 2020:*
Since launch, adoption of SOFR futures continues to grow with global participants surpassing 450 in July.
As a next step in developing the SOFR futures ecosystem, we are partnering with top STIR market makers to build liquidity in SOFR Packs and Bundles.
CME Group has worked with market participants to develop a plan for transitioning price alignment and discounting for Swap futures from EFFR to SOFR on October 16, 2020.
Read our transition plan
Data as of July 31, 2020, unless otherwise specified
*Pending regulatory approval