CME Group U.S. Treasury Futures Open Interest Surpasses Record 21 Mn Contracts

Highest-ever annual ADV of 5.5 million contracts also reached in 2023

Agha Mirza, CME Group Global Head of Rates and OTC Products

FinTech BizNews Service

Mumbai, November 28, 2023: CME Group, the world's leading derivatives

marketplace, today announced that open interest in its deeply liquid U.S. Treasury

futures set a new record of 21,428,757 contracts on November 24.

This year, the notional value of open interest in CME Group U.S. Treasury futures

grew to $2.57 trillion, an increase of 50% year-over-year, as the 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 our U.S.

Treasury futures, which offer market participants the most efficient and liquid

products to hedge risk across the yield curve," said Agha Mirza, CME Group Global

Head of Rates and OTC Products. "We are particularly pleased with the breadth of

our market's liquidity profile and overall participation, as measured by large open

interest holders in the CFTC's commitment of traders report. Amid our third

consecutive year of record ADV, this indicates the market will remain deeply liquid,

while it continues to enable record risk transfer."

CME Group delivers the market's leading electronic, central limit order book for every

tenor of U.S. Treasury futures, which trade side-by-side on the CME Globex platform

with BrokerTec cash securities. In addition, clients benefit from the flexibility of

privately negotiated transactions in the form of blocks, exchange for risk (EFR) and

exchange of futures for physical (EFP) agreements. Clients using these tools to

manage risk include sovereigns, banks, asset managers, hedge funds, principal

trading firms and other institutions.

U.S. Treasury futures receive margin offsets against existing CME Group Interest

Rate products, and are listed with, and subject to, the rules of CBOT. These

contracts are also eligible for portfolio margining against other cleared interest rate

swaps and futures.

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