August Rates Recap

Strong debut for 3-Year Treasuries

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.

  • Participants: 55+
  • Volume: 62,977 (4,198 ADV)
  • Latest 5-day rolling ADV: 5,726
  • Open interest: 4,847
  • Avg. book depth: 195+ lots at the top of book (900+ at top two levels)
  • Bid/ask spreads increasingly at new 1/8 MPI
  • Active RV trading in short-end curve spreads via 3Y vs. 5Y (TOF) and 2Y vs. 3Y (TYT) inter-commodity spreads on CME Globex
  • Cash-futures basis trading via EFP

View: Block market makers | Synthetic price history

More on enhanced 3-Year futures

US Treasury Issuance: Drivers, Mechanics, and Holders

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:

  • 2020 issuance and projections
  • Climbing debt levels relative to GDP
  • Growing issuance complexity
  • Lengthening US debt maturity profile
  • Role of the Fed and its balance sheet
  • Futures deliverable basket implications
  • Resources for monitoring Treasury issuance

Read the white paper

Enhancements to Committed Cross

On July 27, CME Group implemented the following changes to the committed cross protocol, which has seen growing usage in Interest Rate options.

  • Enhanced Better Price or Volume match (BPVM)
  • BPVM percentage increased from 35% to 45%

View the SER for details

Fed Funds: Extending the curve and launching strips

Effective September 21, 2020:*

  • Fed Fund futures listings will be extended to five years (from current three years)
  • Strips will be listed as an efficient mechanism for trading as a single package, similar to Eurodollar Packs and Bundles

View the SER to learn more

SOFR: Liquidity coming to Packs and Bundles

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.

More on SOFR Packs and Bundles

Swap futures: Price alignment & discounting switch to SOFR

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

Initial listing: SOFR-based Eris and MAC Swap futures

Effective October 5, 2020,* CME Group will list SOFR-based Swap futures in the following tenors:

  • Eris SOFR Swap futures (1Y, 2Y, 3Y, 4Y, 5Y, 7Y, 10Y, 12Y, 15Y, 20Y, 30Y)
  • MAC SOFR Swap futures (2Y, 5Y, 7Y, 10Y, 20Y, 30Y)

View the SER

Eris SOFR Swap futures

Data as of July 31, 2020, unless otherwise specified
*Pending regulatory approval