October Rates Recap

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.

Access the tool here

• 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

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

• 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