CME Group Interest Rates

News and insights from @CMEGroup's leading interest rate derivatives marketplace.

[CME Group @CMEGroup]

Open interest in Japanese Yen (6J) futures hits highest ever, surpassing 500K for the first time.

[CME Group Interest Rates @Interest_Rates]

Treasury volatility is higher across the curve following ISM data. Skew and convexity are rising ahead of key jobs report.

[CME Group Interest Rates @Interest_Rates]

Asset managers have built their largest net short position in Fed Funds futures since early 2023, a year that saw the Fed hike four times.

Chart via @quikstrike1

[CME Group Interest Rates @Interest_Rates]

The Warsh era begins with key growth data and EU inflation reports:

Mon: Memorial Day 🇺🇸 (U.S. Markets Closed)
Tue: Auctions: T-Bills ($166B) & 2-Yr ($69B)
Wed: 5-Yr Auction ($70B)
Thu: U.S. GDP Growth, PCE & Personal Income, 7-Yr Auction ($44B)
Fri: Inflation (🇮🇹, 🇩🇪, 🇫🇷)

[CME Group Interest Rates @Interest_Rates]

SERFF's up, literally.

[CME Group Interest Rates @Interest_Rates]

#SOFR M6M7 spread hits 40 bps.

The spread between Jun26 and Jun27 SOFR futures has risen over 92 bps since late Feb, as inflation concerns have fueled a dramatic shift in market expectations from cuts to hikes.

[CME Group Interest Rates @Interest_Rates]

After a hot CPI reading in the U.S., inflation reports go global this week

Mon: T-Bill Auctions ($166B)
Tue: Canada Inflation, Japan GDP Growth
Wed: UK Inflation, 20-Yr Auction ($16B), FOMC Minutes
Thu: Philly Fed, 10-Yr TIPS Auction ($19B)
Fri: Japan Inflation

[CME Group Interest Rates @Interest_Rates]

Higher for longer, visualized.

In the past month, SR3 traders have moved from targeting cuts to positioning for more elevated rates well into 2027.

[CME Group Interest Rates @Interest_Rates]

The Treasury roll is off to a fast start - TY positions are rolling at their fastest pace in the last 20 quarters.

[CME Group Interest Rates @Interest_Rates]

After a strong jobs report, markets pivot to funding and inflation.

Mon: Auctions: T-Bills ($166B) & 3-Yr ($58B)
Tue: Auctions: 52-Wk ($50B) & 10-Yr ($42B), CPI
Wed: 30-Yr Auction ($25B), PPI
Thu: Retail Sales
Fri: Industrial Production

[CME Group Interest Rates @Interest_Rates]

Jun26 SOFR-Fed Funds spread reaches parity on record volume.

[CME Group Interest Rates @Interest_Rates]

#SOFR M6M7 spread, +12bps today, has gained over 70bps since Feb 27.

SR3M7, the tail wagging the spread, reflects a 91bp increase in expected SOFR over that period.

[CME Group Interest Rates @Interest_Rates]

Prediction markets are pricing in a print above 50K for Friday's report with an outside shot chance of a +100K number.

[CME Group Interest Rates @Interest_Rates]

Jobs week jitters ahead for markets:

🔹Mon: T-Bill Auctions ($166B)
🔹Tue: Aussie Rate Decision, ISM Services, JOLTS
🔹Wed: EIA Crude Stocks Change
🔹Thu: Challenger Job Cuts
🔹Fri: Non-Farm Payrolls, Michigan Consumer Sentiment

[CME Group @CMEGroup]

Breaking: JPY/USD futures see highest ever daily trading volume.

[CME Group Interest Rates @Interest_Rates]

🇺🇸 Credit futures attracting institutional flows.

Open interest just surpassed 15,000 contracts (~$1.65B), driven by deep screen liquidity and record-sized block trading in High Yield futures.

[CME Group Interest Rates @Interest_Rates]

#SOFR Z6/M7/Z7 butterfly soars as inflation expectations fuel higher-for-longer trade.

[CME Group Interest Rates @Interest_Rates]

Fed Funds futures curve today vs. a week ago vs. a month ago.

[CME Group Interest Rates @Interest_Rates]

This week, markets face a central bank gauntlet (featuring the FOMC)

Mon: Auctions: T-Bills ($166B), 2-Yr ($69B), 5-Yr ($70B)
Tue: 7-Yr Auction ($44B), BoJ Rate Decision
Wed: BoC Rate Decision, #Fed Rate Decision
Thu: ECB Rate Decision, BoE Rate Decision
Fri: ISM Manufacturing

[CME Group Interest Rates @Interest_Rates]

Convexity remains elevated in #SOFR, indicating traders remain cautious of tail-risks, even with outright volatility levels cooling.