September 2023 Rates Recap

T-Bill futures coming October 2

As the Treasury increasingly issues T-Bills to fund short-term obligations, CME Group is launching 13-Week U.S. Treasury Bill futures to meet clients' need for a direct and effective hedging instrument.

Launching October 2*, T-Bill futures will offer a precise way to hedge risks related to yields at auction. Key details include:

  • Familiar STIR futures design: cash settled, $25/bp contract size, settled on IMM weeks
  • Final settlement price: 100 minus the highest accepted discount yield in the 13-Week T-Bill auction
  • Six contracts listed spanning one year (four quarterly and two serial expires)
  • Seamless spreading versus SOFR
  • Globex code: TBF3

View the full contract specs

*pending regulatory review


SOFR packs & bundles activity rises

The use of SOFR packs and bundles is on the rise, as enhanced liquidity allows users to better leverage this key mechanism for implementing multi-contract strategies without legging risk.

  • P&Bs accounted for ~20% of 3M SOFR volume in August, up from the 16% average YTD.
  • 562k in ADV for the month of August.
  • Top-of book depth increased by 63%.

Unprecedented growth drives Treasury OI to nearly 20M contracts

The Treasury futures liquidity pool reached new depths in August as soaring demand pushed open interest to the unprecedented level of 19.81M contracts on Aug 23. To put that into perspective, that's:

  • Up 39% year-to-date
  • Up 75% from the November 2020 post-COVID-19 lows
  • Up 19% vs. the pre-2023 all-time high

Source: CME Group


TIIE-28 reminder: Feedback needed by September 15

Mexico is moving away from 28D TIIE to TIIE de Fondeo (F-TIIE) in less than 18 months. We are looking for feedback on our conversion proposal in the link below. Please reach out to ClearedSwapsConversion@CMEGroup.com with any questions or comments.

Data as of August 30, 2023, unless otherwise specified

PRODUCT SPOTLIGHT

€STR futures exceeds 13K in open interest

In just over 200 trading days, CME Group €STR futures progressed from a brand-new product to:

  • 13,800 in open interest on August 25
  • Over 500,000 lots traded

Discover what over 100 market participants and 28 LOIHs are seeing in this contract.

Source: CME Group


NEW READINGS

Trade the TBA roll using futures

The TBA "dollar" roll is a common financing strategy that can now be more efficiently accessed via futures. By executing in a liquid order book, participants can implement TBA roll strategies in a cost-effective manner with transparent pricing. See how with 5.0% and 5.5% coupons.

2-Year options strategies

Rich Excell explores how increasingly liquid 2-Year options can be used to trade the confluence of QT, falling inflation expectations, oil, and more.  


JOIN US

ISDA/SIFMA trading forum - The path to resilient Treasury markets

Join top industry practitioners and regulatory leaders in NYC on September 21 for in-person discussions and networking focused on key topics facing U.S. Treasury markets.

Registration is complimentary for buyside participants.