The 2024 edition of our annual chart book is now available, offering a concise view into key measures of liquidity across Interest Rate futures and options.

View charts covering:

• Liquidity metrics (volume, OI, LOIH, cost to trade)
• Short-Term Interest Rates
• U.S. Treasuries
• Swap futures
• Credit futures
• Mortgage futures

EUR/USD cross-currency risk can now be managed with a single futures contract.

Meet Cross-Currency Basis futures, an efficient way to hold and manage risk in EUR/USD IMM-dated Three-month contracts that are cash settled to the CME EUR/USD Cross-Currency Basis Index.

The index is derived from observed prices in our SOFR, ESTR and EUR/USD futures markets. Find out more about this new trading solution and explore the key details of the contract below: 

• Understanding Cross-Currency Basis futures
• Cross-Currency Basis Watch Tool
• See the full vendor code list

With the launch of Mortgage Rate futures last month, participants can now manage risk efficiently across both primary (Mortgage Rate) and secondary (TBA) linked contracts.

Mortgage Rate futures have traded 269 contracts since their launch three weeks ago, as market participants begin to onboard. 

TBA futures open interest is up 35% YoY, at over 7K contracts, with YTD ADV of 770 contracts. 

This expanded toolkit opens up spread trading opportunities, more pinpoint hedging and new ways to achieve margin offsets. Explore our suite for details. 

Mortgage Rate futures

• Correlation Between Mortgage Benchmarks
• Understanding Mortgage Rate futures
• Hedging with Mortgage Rate Futures

TBA futures

• Spreading TBA futures vs. Treasuries
• Comparing TBA futures vs. forwards
• Trading the TBA roll

Building on the successful December roll, Credit futures have soared with new end-user activity and additional participants joining the ecosystem to start the year. Momentum was seen in terms of: 

• Expanding book depth and narrowing bid-asks
• Record outright volumes
• Record open interest

Source: CME Group, data as of February 05, 2025.

That's not all, High Yield Duration-Hedged Index contracts are coming March 17 (see the SER).

STIR traders looking to manage ongoing SOFR-EFFR basis volatility are turning to SOFR vs. Fed Funds futures inter-commodity spreads (ICS).

In January, SR1-ZQ ICS volume topped 100K spreads/day for the second month in a row accounting for 50% of SR1 volumes.

Did you know RFQ (Request for Quote) functionality can be used for both futures and options strategies?

This technique allows participants to indicate interest in a trade, prompting market makers to respond. It can be especially valuable in markets with a range of instruments or those where liquidity is still building.

In our efforts to help clients navigate coming Treasury clearing requirements, CMESC has now filed its application with the SEC to register as a clearing agency.

Pending this regulatory review, our CME Securities Clearing service will provide capital-efficient clearing solutions for U.S. Treasury and Repo transactions. See our resources for more info and details on our cross-margining and capital efficiency programs.

With the shift away from the 28D TIIE benchmark, December and January produced the best two ADV months in F-TIIE futures history. February could continue this trend with the deployment of our automatic market-wide fee waiver until the end of April.

Explore the contracts now to maximize the value of the waiver and look for additional enhancements later this year as the ecosystem continues to expand.

To get the most timely news on these markets, make sure to follow us on X.

Find us @Interest_Rates.

Data as of February 6, 2025, unless otherwise specified.

* Pending regulatory approval