With 2Y, 3Y, and 5Y Treasury yields all rising to new 2021 highs in September, clients are capitalizing on the curve granularity and cost-effective execution (1/8 ticks) of 3Y futures to manage short-end UST exposure.
Notably in September:
Source: CME Group
In just seven weeks of trading:
Yield futures offer direct exposure to OTR Treasuries, with yield-based pricing, cash settlement to BrokerTec UST benchmarks, and fixed DV01 and duration.
We analyzed the evolution and volatility of the CCP basis, and the clearing costs associated with invoice swap spreads. Here are three of the key findings:
SOFR usage hit new records in September:
What's more, the broader SOFR-linked picture is one of even greater liquidity:
Data as of September 30, 2021, unless otherwise specified
*Subject to regulatory review