News and insights from @CMEGroup's leading interest rate derivatives marketplace.
Chicago, IL
Joined May 2023
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Synchronized global rate hikes tell us something bigger is happening: shared inflationary pressure, tightening financial conditions everywhere at once, and a global economy moving in the same direction. The question is what comes next. 💬 #AskTheEconomist breaks it down.
CME Group Interest Rates retweeted
Treasury yield volatility surging across the curve.
Skew sharply lower, convexity higher, suggesting rising demand for protection against lower yields and extreme moves.
Unrivaled liquidity 🤝 unmatched capital efficiency
Demand for balance sheet efficiency continues to be met at CME Group, where portfolio margining and CME-FICC cross-margining helped clients optimize margins across interest rate positions to the tune of $15B/day last month.
Portfolio Margining (Cleared IRS vs. futures & options)
🔹Record average daily savings of $13B in September
🔹Daily savings climbing towards $15B in October
🔹USD IRS notional volume +75% YoY as clients increasingly opt to clear at CME Group to take advantage of this program
CME Group Interest Rates retweeted
#SOFR volatility hits highest since March, steadily rising in 16 of 24 sessions since the mid-September low.
#SOFR volatility hits highest since March, steadily rising in 16 of 24 sessions since the mid-September low.
Nominal GDP is considered the bond market's north star. With 6.5% nominal growth, long-term yields could rise. Erik Norland explains. 💬 #AskTheEconomist
Week ahead for the Rates market:
Mon: Treasury Link phase-one testing
Tue: U.S. housing
Wed: 20yr Auction ($13bn)
Thu: 5yr TIPS ($26bn)
CME Group Interest Rates retweeted
JUST IN: Open interest in #Ultra10 options tops 100,000 for the first time.
JUST IN: Open interest in #Ultra10 options tops 100,000 for the first time.
#FedWatch: October rate hike expectations fade.
After reaching as high as 53% yesterday following CPI, the probability of a hike has dropped below 30% amid a strong rally in Treasuries and dovish Fed pushback.
Can yields reach 6%? Erik Norland cites two key drivers: a U.S. deficit at 6%–7% of GDP and corporate debt tied to data centers.
💬#AskTheEconomist
#FedWatch: October Fed meeting back in play?
October rate hike expectations jumped to 50% post-CPI, from 22% a day ago.
CME Group Interest Rates retweeted
Asset managers shift risk from the wings to the belly of the curve.
From 9/22 to 10/6, asset managers moved $30m DV01 from the wings (TU/US/WN) to the belly (FV/TY/UXY), reducing duration while maintaining net long positioning across Treasury futures above flat.
Asset managers shift risk from the wings to the belly of the curve.
From 9/22 to 10/6, asset managers moved $30m DV01 from the wings (TU/US/WN) to the belly (FV/TY/UXY), reducing duration while maintaining net long positioning across Treasury futures above flat.
CME Group Interest Rates retweeted
The momentum in Eris SOFR Swap futures is real!
* Record volume in September and Q3
* Record open interest driven by asset manager inflows
* Record 45K lot block ($820K DV01) on Sep 28, as covered by @EddBolingbroke
* 15 blocks exceeding $200K DV01 during the month
