The international derivatives market CME Group announced today that open interest in US Treasury futures hit a new record of 21,428,757 contracts on November 24th.
This year, notional open interest in CME Group US Treasury futures rose to $2.57 trillion, up 50% year over year, as average daily volume (ADV) reached 5.5 million contracts, the highest annual level ever.
“Throughout 2023, we have seen record volume and open interest in US Treasury futures, which offer market participants the most efficient and liquid products to hedge risk across the yield curve,” he said. Agha Mirza, Global Head of Rates and OTC Products at CME Group. . “We are particularly pleased with the breadth of our liquidity profile and overall market participation as measured by large open interest holders in the CFTC’s Trader Engagement Report. In the midst of our third consecutive year of record ADV, this indicates that the market will remain deeply liquid while continuing to allow for record risk transfer.”
CME Group provides an electronic, centralized limit order book for each time period of US Treasury futures, which are traded side-by-side on the CME Globex platform with BrokerTec cash securities.
In addition, clients benefit from the flexibility of privately traded blocks, exchange for risk (EFR) and exchange for physical futures (EFP). Customers who use these tools to manage risk include government agencies, banks, asset managers, hedge funds, major trading companies and other institutions.
US Treasury futures receive margin hedges against CME Group’s existing interest rate products and are listed and subject to CBOT rules. These contracts are also eligible for portfolio margining against other cleared interest rate swaps and futures contracts.