Quarterly Interest Rate Review - CME Group · 2017. 7. 12. · Quarterly Interest Rate Review 2 HIGHLIGHTS Third Quarter 2012 Volume and Open Interest • Average Daily Volume (ADV)

A Global Trading Summary of Interest Rate Markets

» Highlights

» Volume

» Credit Spreads

» Deliveries

» Cash Market

Penetration

» Foreign Holdings of

Treasury Securities

» Historical Volatility

Also including Interest Rate Futures Liquidity Report

Third Quarter 2012

Quarterly Interest RateReview

How the world advances

INTEREST RATES

http://www.cmegroup.com

0

www.cmegroup.com/interestrates

1

UPDATE ON INTEREST RATE PRODUCTS

Deliverable Interest Rate Swap Futures Available December 3, 2012

Deliverable Swap Futures offers a capital-efficient way to access interest rate swap exposure with the benefits of futures. Margin efficiencies for a capital-constrained world

Futures-style margining, which equates to margins that are approximately 50% lower than cleared IRS Risk offsets with Eurodollar and Treasury futures and options Automatic netting of positions Coming in early 2013 - Portfolio margining with cleared OTC interest rate swaps

Developed in close collaboration with buy- and sell-side participants

Credit Suisse, Citi, Goldman Sachs, Morgan Stanley among firms planning to serve as market makers Flexibility to roll the futures position or take delivery of a CME cleared interest rate swap Choice of execution via CME Globex, block trades, EFRPs and Open Outcry on the trading floor Participants can trade in an OTC manner – ability to block calendar spreads with:

─ Lower block thresholds ─ Longer reporting times ─ No block surcharges

Learn more at cmegroup.com/dsf

Strong Growth of Treasury Options Continues Third quarter highlights included:

50% of all Treasury options executed on the CME Globex platform

60% of all Treasury Bond options traded electronically

Weekly Treasury Options (WTOs) surpassed 101,000 contracts (a new single-day record) on September 7, 2012, on Non-Farm Payroll news.

Learn more at cmegroup.com/iroptionsvolume

Portfolio Margining Extends to Customer Accounts Savings Up to 90% CME Group is approved to offer portfolio margining of our Eurodollar and Treasury futures and cleared OTC IRS products for both house and customer accounts.

Operational readiness dates for customer accounts – November 19, 2012 Clearing members have already been taking advantage of these cost savings to significantly reduce

their initial margins requirements To date, the program has helped provide capital efficiencies of up to 90% for certain portfolios

Learn more about your potential savings

http://www.cmegroup.com/trading/interest-rates/deliverable-interest-rate-swap-futures.html

http://www.cmegroup.com/trading/interest-rates/monthly-options-volume-report.html

http://www.cmegroup.com/trading/interest-rates/cleared-otc/portfolio-margining-of-cleared-otc-irs-swaps-and-futures.html

http://www.cmegroup.com/interestrates

Quarterly Interest Rate Review

2

HIGHLIGHTS Third Quarter 2012 Volume and Open Interest

• Average Daily Volume (ADV) for U.S. Treasury futures was 2,085,559 contracts per day for the third quarter of 2012.

• Open interest for U.S. Treasury futures was 5,007,700 contracts at the end of the third

quarter of 2012, an increase of 10% from the third quarter of 2011.

• Average Daily Volume (ADV) for Eurodollar futures was 1,580,272 contracts per day for the third quarter of 2012.

• Average Daily Volume (ADV) for U.S. Treasury options was 330,911 contracts per day for the third quarter of 2012.

• Average Daily Volume (ADV) for Eurodollar options was 488,696 contracts per day for the

third quarter of 2012.

Weekly U.S. Treasury options have produced cumulative volume of more than 6.75 million contracts since being launched on January 24, 2011.

Record 54% of all Treasury options traded were traded on CME Globex in September

2012.

• Average Daily Volume (ADV) for 2-Year T-Note options was 20,388 contracts per day for the third quarter of 2012, an increase of 94% from the third quarter of 2011.

• Average Daily Volume (ADV) for the 4-Year Mid-Curve options was 70,000 per day for the

third quarter of 2012 compared to 5,700 per day in Q3 2011.

• Average Daily Volume (ADV) for the 3- and 4-Year Mid-Curve options was 233,000 contracts per day for the third quarter of 2012, an increase of 166% from the third quarter of 2011.

Ultra T- Bond futures posted third quarter 2012 ADV of 60,965 contracts and open interest

of 364,820 at the end of the third quarter of 2012.

http://www.cmegroup.com/tools-information/ir-tools.html


3

‐50

‐40

‐30

‐20

‐10

0

10

20

Jan‐09 Apr‐09 Jul‐09 Oct‐09 Jan‐10 Apr‐10 Jul‐10 Oct‐10 Jan‐11 Apr‐11 Jul‐11 Oct‐11 Jan‐12 Apr‐12 Jul‐12

Basis Points

30‐Year Swap Spread 30‐Year Treasury Bond Yield ‐ Interest Rate Swap Yield

Source: Bloomberg

0

20

40

60

80

100

120

140

160

180

200

210

220

230

240

250

260

270

280

Jan‐07 Jun‐07 Nov‐07 Apr‐08 Sep‐08 Feb‐09 Jul‐09 Dec‐09 May‐10 Oct‐10 Mar‐11 Aug‐11 Jan‐12 Jun‐12

Cash Spread

(bps)

Futures Spread

Trading The NOB

futures

cash

Source: Bloomberg

The daily futures chart represents: 5*(TY Futures Price) ‐ 3*(US Futures Price)The daily cash chart shows the yield spread of on‐the‐run 30‐Year and 10‐Year



4

0

100,000

200,000

300,000

400,000

500,000

600,000

700,000

Green Blue Gold 2‐Year 3‐Year 4‐Year 5‐Year

Quarterly Pack and Bundle Volume

Q1 '12

Q2 '12

Q3 '12

0%

10%

20%

30%

40%

50%

60%

0

50,000

100,000

150,000

200,000

250,000

300,000

350,000

400,000

450,000

500,000

550,000

600,000

Volu

me

U.S. Treasury Options ‐Monthly Average Daily Volume ADV Pit ADV Electronic Percent Electronic


5

0%

2%

4%

6%

8%

10%

12%

14%

‐

100,000

200,000

300,000

400,000

500,000

600,000

U.S. Treasury Options CME Globex and Pit ADV by Time Zone

RTH‐Pit RTH‐Globex ETH‐Europe ETH‐Asia % ETH

Percent of total average daily volume (ADV) executed in extended trading hours (CME Globex). ADV includes open outcry.

0.0%

1.0%

2.0%

3.0%

4.0%

5.0%

6.0%

0

200,000

400,000

600,000

800,000

1,000,000

1,200,000

1,400,000

1,600,000

1,800,000

Eurodollar Options CME Globex and Pit ADV by Time Zone

RTH‐Pit RTH‐Globex ETH‐Europe ETH‐Asia % ETH

Percent of total average daily volume (ADV) executed in extended trading hours (CME Globex). ADV includes open outcry.



6

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

11%

12%

13%

14%

15%

Local (Chicago) Time

Treasury Futures: Hourly Distribution of Electronic Volume(Hourly Volume as % Share of Volume, July 1 ‐ September 30, 2012)

Asian Hours (5pm-12am)European Hours (12am-7am)US Hours (7am-4pm)

% of Volume per Time ZoneAsian Hours- 3%European Hours- 17%U.S. Hours- 80%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

10%

11%

12%

13%

14%

15%

Local (Chicago) Time

Treasury Options: Hourly Distribution of Electronic Volume(Hourly Volume as % Share of Volume, July 1‐ September 30, 2012)

Asian Hours (5pm-12am)European Hours (12am-7am)US Hours (7am-4pm)

% of Volume per Time ZoneAsian Hours - 2%European Hours - 21%US Hours - 77%


7

0%

2%

4%

6%

8%

10%

1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012

2‐Year and 5‐Year U.S. Treasury Note FuturesMonthly Historical Volatility(3‐Month Moving Average)

2-Year 5-Year

Source: CME Group

0%

5%

10%

15%

20%

25%

30%

1980 1982 1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012

10‐Year Note and Classic T‐Bond U.S. Treasury FuturesMonthly Historical Volatility(3‐Month Moving Average)

10-Year Classic T-Bond

Source: CME Group



8

0%

5%

10%

15%

20%

25%

30%

1/10 4/10 7/10 10/10 1/11 4/11 7/11 10/11 1/12 4/12 7/12 10/12

Ultra Bond U.S. Treasury FuturesMonthly Historical Volatility(3‐Month Moving Average)

Source: CME Group


9

0%

5%

10%

15%

20%

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012

5‐Year and 10‐Year U.S. Interest Rate Swap FuturesMonthly Historical Volatility(3‐Month Moving Average)

5-Year 10-Year

Source: CME Group

0%

5%

10%

15%

20%

25%

30%

35%

2007 2008 2009 2010 2011 2012

7‐Year and 30‐Year U.S. Interest Rate Swap FuturesMonthly Historical Volatility(3‐Month Moving Average)

7-Year 30-Year

Source: CME Group



10


11



12

0%

20%

40%

60%

80%

100%

0

25,000

50,000

75,000

100,000

125,000

1990 1995 2000 2005 2010

2‐Year U.S. Treasury Note Futures

Delivered Contracts and as Percent of Open Interestof Expiring Contract on First Position Day

Delivered (Left) Percent (Right)

Source: CME Group

0%

20%

40%

60%

80%

0

50,000

100,000

150,000

200,000

1990 1995 2000 2005 2010




Source: CME Group


13

0%

8%

16%

24%

32%

40%

0

50,000

100,000

150,000

200,000

250,000

1990 1995 2000 2005 2010




Source: CME Group

0%

5%

10%

15%

20%

0

15,000

30,000

45,000

60,000

1990 1995 2000 2005 2010

Classic U.S. Treasury Bond Futures



Source: CME Group



14

0%

10%

20%

30%

40%

0

15,000

30,000

45,000

60,000

03/10 06/10 09/10 12/10 03/11 06/11 09/11 12/11 03/12 06/12 09/12 12/12

Ultra U.S. Treasury Bond Futures



Source: CME Group


15

44.1%

34.4%32.6%

24.3%

15.0% 14.7% 14.7%

10.8% 10.4% 10.1%

France Mexico Switzerland Turkey Spain United Kingdom Chile Colombia Singapore Norway

Largest Quarter‐over‐Quarter Increases (Percent)in Foreign Holdings of U.S. Treasury Securities

August 2012

Source: U.S. Treasury Department

‐0.9%

‐1.6%‐1.8%‐2.1%

‐3.0%

‐5.3%

‐5.8%

‐6.9%

‐10.9%‐11.1%

ChinaGermanyIrelandRussiaHong KongMalaysiaDenmarkSouth KoreaSouth AfricaAustralia

Largest Quarter‐over‐Quarter Decreases (Percent)in Foreign Holdings of U.S. Treasury Securities

August 2012


\



16

49.5%

27.3%

12.0%

6.5%4.7%

U.S. Asia Europe Americas ex‐U.S. All Other

Regional Holdings ofU.S. Treasury Securities (Percent)

August 2012


37.0% 36.5%

8.2% 8.2%

4.3% 4.2%

1.7%

Caribbean BankingCenters

Brazil Canada Mexico Chile Colombia Peru

Americas ex‐U.S. Holdings ofU.S. Treasury Securities (Percent)

August 2012



17

39.2%38.1%

6.7%4.7%

3.1%2.0% 1.8% 1.5% 1.3% 0.9% 0.7%

China Japan Taiwan Hong Kong Singapore Thailand India South Korea Philippines Australia Malaysia

Asia Holdings ofU.S. Treasury Securities (Percent)

August 2012


15.6%

11.9% 11.9%11.0%

10.2%

7.1%

5.7%5.3% 5.0%

2.7% 2.3% 2.2% 2.1% 2.0% 2.0% 1.9%1.1%

Switzerland

United Kingdom

Russia

Belgium

Luxembourg

Ireland

Norw

ay

France

Germany

Turkey

Poland

Swed

en

Italy

Israel

Netherlands

Spain

Denmark

Europe Holdings ofU.S. Treasury Securities (Percent)

August 2012




18

0

50

100

150

200

250

300

350

400

2006 2007 2008 2009 2010 2011 2012*The CFTC defines large open interest holders as having at least

600 open contracts in Fed Funds and 3,000 in Eurodollars.

Fed Funds and Eurodollar FuturesNumber of Large Open Interest Holders*

Fed Funds Eurodollars

Source: Commodity Futures Trading Commission

0

50

100

150

200

250

300

350

2006 2007 2008 2009 2010 2011 2012*The CFTC defines large open interest holders as having at least 1,000 opencontracts in 2-Year Notes; 2,000 in 5-Year Notes; and 2,000 in 10-Year Notes.

Treasury Note FuturesNumber of Large Open Interest Holders*

2-Year Notes 5-Year Notes 10-Year Notes



19

0

50

100

150

200

250

2006 2007 2008 2009 2010 2011 2012*The CFTC defines large open interest holders as having at least1,500 open contracts in Classic Bonds and 1,500 in Ultra Bonds.

Treasury Bond FuturesNumber of Large Open Interest Holders*

Classics Ultras


0

10

20

30

40

50

60

2006 2007 2008 2009 2010 2011 2012*The CFTC defines large open interest holders as having at least500 open contracts in 5-Year Swaps and 500 in 10-Year Swaps.

Swap FuturesNumber of Large Open Interest Holders*

5-Year Swaps 10-Year Swaps




20

How Liquidity is Calculated • Globex order book liquidity data are calculated utilizing time‐weighted‐

average (TWA) Globex order book sizes at each generic price level (i.e. best bid/offer, 2nd best, 3rd best, 4th best, and 5th best).

• Bid/Ask Qty 1 = the average Best Bid and Offer book sizes and are also referred to as the “Top of the Book”. Bid/Ask Qty 2 = the average order book sizes at the 2nd‐best bid and 2nd‐best offer, and so on.

• The bid and offer sizes are averaged together, such that if the TWA Best bid size = 36 and the TWA Best offer size = 34, then the Avg Bid/Ask Qty 1 would equal 35.

• The time‐weighted‐averages are derived from 7:00 am – 4:00 pm, Chicago time, unless otherwise noted.

Interest Rate Futures Liquidity

Report


21

Eurodollar Futures Liquidity Blue (4th) Year Liquidity

Eurodollar Futures Liquidity Gold (5th) Year Liquidity



22


23



24


25



26


27



28

CME Group Interest Rate ProductsCME Group is the world’s leading marketplace for trading short-, medium- and long-term interest rate

derivative products. Spanning the entire U.S. dollar-denominated yield curve, our products include

futures and options on the most widely followed U.S. interest rate benchmarks: Eurodollars, U.S. Treasury

securities, 30-Day Fed Funds, and Interest Rate Swaps. In addition, we offer central counterparty clearing

for OTC Interest Rate Swaps. The liquidity, transparency and security of CME Group interest rate markets

provide customers around the world with safe, efficient means for managing interest rate risk. Backed

by our central counterparty clearing model, we offer powerful solutions to address a wide variety of risk

management needs.

In New YorkSean Tully, Managing Director212 299 [email protected]

In ChicagoPete Barker, Executive Director 312 930 [email protected]

Steve Dayon, Executive Director 312 466 4447 [email protected]

Mike Kamradt, Executive Director 312 466 [email protected]

Jonathan Kronstein, Senior Director 312 930 3472 [email protected]

Dave Reif, Senior Director 312 648 3839 [email protected]

Suzanne Spain, Director 312 338 2651 [email protected]

In SingaporeLouis Chong, Executive Director 65 6593 5588 [email protected]

In LondonDavid Coombs, Executive Director 44 20 3379 [email protected]

For more information, please contact the Interest Rate Products Team:

You may also reach us at: [email protected] or 866 501 3646.

mailto:[email protected]










IR277.3/0/1112

Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contract’s value is required to trade, it is possible to lose more than the amount of money deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade.

All references to options refer to options on futures.

CME Group is a trademark of CME Group, Inc. The Globe Logo, CME, Chicago Mercantile Exchange, and Globex are trademarks of Chicago Mercantile Exchange Inc. CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago. New York Mercantile Exchange and NYMEX are registered trademarks of the New York Mercantile Exchange, Inc. All other trademarks are the properties of their respective owners. The information within this brochure has been compiled by CME Group for general purposes only. CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this brochure are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT, and NYMEX rules. Current rules should be consulted in all cases concerning contract specifications.

Copyright © 2012 CME Group. All rights reserved.

CME GRouP REGIoNAL offICEs

[email protected]+1 800 331 3332+1 312 930 1000

New York+1 212 299 2000

Calgary+1 403 444 6876

seoul+82 2 2076 8470

London+44 20 3379 3700

Houston+1 713 658 9292

Hong Kong+852 3101 7696

singapore+65 6593 5555

são Paulo+55 11 2565 5999

Washington D.C.+1 202 638 3838

CME GRouP HEADquARtERs

20 South Wacker DriveChicago, Illinois 60606cmegroup.com


http://www.cmegroup.com

Documents

Quarterly Interest Rate Review - CME Group · 2017. 7. 12. · Quarterly Interest Rate Review 2 HIGHLIGHTS Third Quarter 2012 Volume and Open Interest • Average Daily Volume (ADV)