April 2024 Rates Recap

€STR options coming May 20 as futures liquidity surges

Sparked by a new liquidity program and driven by robust end-user demand, €STR futures continue to reach new records, including:

  • ADV of 20,540 contracts in March (+77% MoM)
  • OI of over 47,000 (March 20)
  • Avg. top-of-book depth +75% MoM
  • Avg bid-ask spreads narrowed to 1/2bp into red months
  • Outright contract trading up 377%, now representing over 25% of total volume

Source: CME Group

With surging liquidity, the €STR ecosystem expansion continues. Quarter tick trading is coming April 22, while €STR options launch May 20. 

Activity rekindled in 3-Year contracts

With greater uncertainty in the short end of the curve, new life has come into the 3-Year futures market. Q1 saw volumes that were 63% higher than a year ago, while open interest climbed above 15K contracts.  

Source: CME Group

As activity builds, consider these contracts as a granular solution for expressing a view near the 3-year point on the curve, no matter the yield environment. 

Learn about 3-Year T-Note futures


Credit futures details come into focus

Coming summer 2024*, the newest addition to the CME Group Rates lineup looks to be a trio of credit-focused choices for participants.

In a collaboration with Bloomberg to license their Corporate Bond Indexes, we expect to offer:

  • Investment Grade (IG)
  • High Yield (HY)
  • Methods to trade only the credit component (duration hedged)

A range of participants have already expressed interest, including asset managers, banks, hedge funds and proprietary trading firms. Join them by signing up to receive the official contract specs, coming later this month.  

Register your interest


MXN TIIE cleared swap conversion: New resources now available

In advance of the upcoming transition from 28D TIIE to F-TIIE, we recently published additional resources on our MXN transition homepage to best prepare the market for the conversion of CME Group cleared swaps in November.  

Please email our team with any questions as you dive into these documents, or if you have any questions regarding F-TIIE OIS clearing, which is now live

View the new resources

Micro Treasuries, big launch

Designed to improve market access, Micro Treasuries have seen big demand since launch:

Source: CME Group

Read more about these 1/10 sized contracts.

Micro Treasuries vs. Yield futures

Discover Micro Treasury futures

ECB v. Fed: First to cut?

Futures markets are pricing in a similar pace of cuts from the ECB and the Fed. This is curious given that the euro zone has more rapidly falling inflation and weaker growth, suggesting that, based on the data, the ECB could lead the Fed this time around.

Source: CME Group

Discover trends and what markets are looking for from central banks in 2024. 

ECB rate cut expectations


LOIHs: New record achieved

Large Open Interest Holders (LOIHs) are a proxy for market participation among firms holding significant positions. By this metric, the Rates market has never been more robust, as the current LOIH count came in at 3,248 (March 19), a nearly 20% increase YoY. 

Looking for more liquidity statistics? See our trading review for the highlights of CME Group Rates markets. 

In-depth liquidity analysis

Data as of April 01, 2024, unless otherwise specified

Micro Treasury data as of April 05, 2024

*pending regulatory review

View an archive of the Rates Recap online at cmegroup.com/ratesrecap.