Product Research and Analysis

Managing Behemoth Treasury Issuance
As exploding US debt collides with other macro crosscurrents to create large uncertainty with respect to inflation, unemployment, and GDP, total cost-minded investors are turning to CME Groups liquidity pools and tools to manage elevated risks.

Treasury Cash Market Penetration Methodology
Read about the shift in methodology from Primary Dealer to TRACE data for analyzing the ratio of notional-weighted trade activity in futures compared to underlying cash market volumes.

US Treasury Issuance: Drivers, Mechanics, and Holders
Examine the projected US Treasury issuance and its impact on futures deliverable baskets across the Treasury curve.

The 20-Year Bond in a Brave New World
The U.S. Treasurys new 20-year bond brings a new set of dynamics to the back end of the curve. Read about its potential impact on cash, derivatives and funding markets.

Expanded Treasury Issuance to Boost Futures Deliverable Baskets
With US Treasury issuance expected to surge in the coming quarters, the deliverable baskets underpinning Treasury futures will also see a boost.

Holistic Liquidity Measures During Covid-19: Supply, Demand, and Market Conditions
While the economic risks caused by virus concerns reduced order book depth, relative cost to trade actually declined when compared to the expansion in daily trading ranges.

CFTC Study: The Liquidity Hierarchy in the U.S. Treasury Market
Read an analysis of liquidity in the U.S. Treasury market as measured by DV01 risk transfer.

The New Treasury Market Paradigm
This paper applies external sources to examine the evolution of liquidity in both cash and futures markets as well as other important factors such as settlement fails in cash Treasuries.

Classic Bond Futures Soar the Gap
Read about the performance of Classic Bond futures during the first two-and-a-half-year period of its jump across the 5-year gap on the Treasury bond curve

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