March 2024 Rates Recap

The highest efficiencies in the industry: CME Group delivers

CME Group has a long history of finding new ways to bring capital efficiencies to clients. This started with the common clearing of CME and CBOT futures and options, expanded to cleared IRS, and with the advent of the enhanced CME-FICC Cross-Margining Agreement, includes U.S. Treasury notes, bonds and repo.

In light of the December 2023 SEC adoption of new rules for central clearing in the U.S. Treasury markets, CME Group and FICC fully intend to continue this collaboration through our efforts to expand the current CME-FICC Cross-Margining Arrangement to cover customer positions, continuing our long tradition of finding new ways to generate efficiencies for clients.

€STR at two million: Ecosystem enhancements ahead

It has been a busy period for €STR traders with OI of 45,815 (as of March 6), up 49% year to date. Over 2 million €STR contracts have now traded since launch while further enhancements are designed to boost liquidity and interest in the market. These include:

  • Tighter €STR liquidity – Bid-ask is now at half a basis point into red months with more liquidity support in early and late European trading hours. 
  • €STR packs and bundles – Eliminate legging risk by utilizing new packs and bundles, which allow for the purchase of four consecutive quarterly contracts (pack) or integer multiples of fours contracts (bundle). 

4.3 billion pesos: Cleared OTC swaps begin for Mexican F-TIIE

With Mexico's mandated switch from TIIE to F-TIIE approaching, the work continues to build up the broader F-TIIE ecosystem.

The latest step in the support of this transition is complete with the launch of OTC F-TIIE swaps. Nine firms have participated in this service since its debut last month, helping to further develop the Mexican derivatives market ahead of the coming risk-free rate transition.

Learn about F-TIIE swap clearing

Read the latest F-TIIE conversion plan

T-Bill futures: ADV soars 48% MoM

T-Bill futures have been on a roll in 2024. Momentum continues to build for these contracts which can help hedge risks stemming from increasingly uncertain T-bill auctions.

Key February stats include:

  • OI over 6,300
  • ADV in excess of 1,800
  • Total contracts traded lifetime eclipsed 100,000

Get to know T-Bill futures

How to use T-Bill futures to hedge

The next big thing in Treasury futures is small

Coming March 25, new Micro Ultra 10-Year and Micro Ultra T-Bond futures* will offer traders two slices that are similar to their traditional Treasury futures counterparts, except cash settled and 1/10 the notional value and risk.

Discover Micro Treasuries

Easy curve trades with Yield futures

With a constant DV01 across the curve, hedging ratios are simplified for yield futures, making them well-suited for curve trading.

See our article for examples on how to execute various spread trade strategies.  

Delve into spread trades with Yield futures

Juneteenth reminder: SOFR settlement dates

With this year's Juneteenth holiday falling on the third Wednesday of the month, there are some key items to note for SOFR contracts.

March 2024 contract month – Contracts will expire on Tuesday, June 18, 2024, with the final settlement price to be published on Thursday, June 20, 2024. Last contract term in the final settlement calculation will use the FRBNY SOFR value published on Thursday, June 20, 2024, applied for one day.

June 2024 contract month – The reference period will begin on Wednesday, June 19, 2024, with the first term in the final settlement calculation using the FRBNY's SOFR value published on Thursday, June 20, 2024, applied for one day.

Get full Juneteenth trading details

Reference rates and central bank policies

Reference rates provide valuable info about financing costs in money markets, but they can react to changes in central bank policy. Understanding this relationship is vital for interpreting the potential spread between secured and unsecured reference rates.

Read our latest article to better understand how different RFRs have been impacted by recent central bank actions.

Read how central banks impact RFRs

Discover RepoFunds Rates

How to navigate rate uncertainty

Discover how to steer your Rates exposure through this uncertain climate with our latest research.

Taming interest rate risk – In today's rate environment, lenders can't overlook simple, cost-effective hedges. Eris SOFR Swap futures help by preventing spread compression and locking in rates.

Excell with Options – See how opportunities may be developing in the SOFR market due to FOMC uncertainty. Rich Excell explores a few possible options trades for today's market using the new CME SOFRWatch Tool.

Data as of March 1, 2024, unless otherwise specified.

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