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:
Source: CME Group
Month three highlights:
Read: Record issuance and robust cash volumes underscore the need for 3-Yr futures
CME SOFR futures liquidity deepened in September with institutional participation ramping up ahead of key industry milestones:
Key Industry Milestones Ahead:
SOFR-based Swap futures offer an efficient and standardized way to trade SOFR swaps.
Eris SOFR Swap futures
Eris SOFR contract specs
Eris SOFR data
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