June 2024 Rates Recap

The wait for Credit futures is almost over

The June 17 launch of Credit futures is right around the corner.*

Explore our growing list of resources to get ready for the three coming contracts (IG, HY and Duration Hedged). 

Monthly SOFR options coming soon

Monthly options on Three-Month SOFR futures are also launching on June 17.* These new contracts allow for trading of one- or two-month options on any of the first eight quarterly futures underlying not covered by our current serial, quarterly or mid-curve offering.

Have questions about Monthly options? See our FAQ for additional details about the listing.

FAQ: Monthly options

Guide to Monthly options

€STR OI hits 61K

As the €STR ecosystem continues to develop, support from real end-users is helping to push open interest (OI) to new heights. May 31 saw OI of 61,460, which was a new all-time high, while average daily volume (ADV) held strong at over 13,600 for the month.

Source: CME Group

Key €STR resources to familiarize yourself with as the market deepens:

€STR home page

Cross-Currency Basis Watch

View vendor codes

Treasury futures on a roll

Thanks to the needs of investors seeking to navigate historic levels of debt issuance, Treasury futures experienced a burst of activity in the final week of May during the heart of the roll, resulting in a new single day volume record on May 28. Highlights from the record-breaking session included:  

  • Overall futures volume: 32.727 million contracts
  • New one-day volume records in both 2-Year Note and Treasury Bond futures
  • Record OI: 21.527 million contracts

CME Group remains the home of Treasury risk management, including our industry-leading analytics. Inform your strategy with our tools or see how CME Group can help you manage risk across futures, options and cash. 

Explore our Treasury solutions

TBA futures market builds on strong momentum

The last two months for TBA futures have seen the highest ADV since the product's launch. This was capped by the single-biggest volume day in TBA futures history, at over 8,300 contracts on May 3 and the first month with ADV over 1,000 (at 1,127).

As mortgage rates struggle to find direction, TBA futures are an increasingly liquid way to hedge risks in this uncertain market. Learn more about the TBA market with our interactive analytics linked below.

CME Mortgage Analytics Tool

Spotlight on 3-Year Treasury Note futures

Though often overlooked in favor of other points on the curve, risk management needs have been growing for the 3-Year. 

As uncertainty builds for the Fed's path ahead, participants have found a liquid market in 3-Year Treasury Note futures for these needs, pushing the May 29 OI over 24,000 for the first time since December 2021. 

Navigating the TIIE transition

Mexico's benchmark reference rate is changing. Prepare for the transition to the TIIE de Fondeo (F-TIIE) with our webinar, co-hosted with Bloomberg.

Webinar: Navigating the TIIE reference rate transition

RFR hub for all your transition needs

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

* Pending regulatory approval

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