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Improve your short game: T-Bill futures now live

T-Bill futures saw one of the strongest day 1 receptions of the last two decades with over 2,800 contracts traded, 1,200 in open interest, and robust top of book liquidity at 0.5-1.0 bps wide across the curve. Notably, SOFR vs. T-Bill inter-commodity spreads accounted for 56% of day 1 volume. Get to know T-Bill futures with the resources below:

Navigating higher yields: The role of Treasury futures in today’s market

Read a new note from Agha Mirza, Global Head of Rates and OTC, addressing recent Treasury futures themes in the industry and media, and the vital risk management function that Treasury futures play in today’s economy.
➜ See the full article

New products reach new milestones

€STR futures are increasingly attracting euro STIR traders looking for a hedge that accurately reflects changes in rate expectations.

  • Record ADV: 10.1K contracts in September, +43% MoM
  • Record OI: 16.8K contracts on Sep. 18

TBA futures have seen both on screen and block liquidity deepen, enabling growing activity across outrights, dollar rolls, and coupon swaps.

  • Record ADV: 700 contracts, +40% MoM
  • Record OI: 3,800 on Sep. 27
  • Record 1-day volume: 2.4K on Sep. 15
  • First trades in 6.5% coupons.

➜ Read: Trade the TBA Dollar Roll using futures

How to simplify duration hedging

Duration hedging is in focus for participants in today’s market environment. And when every dollar counts more than ever, it may be time to pivot from OTC swaps to more nimble Eris SOFR swaps for a few key reasons:

  • More straightforward – Use traditional futures accounts
  • Trading simplicity – Execute electronically or via blocks
  • Capital efficient – Up to 65% less in initial margin requirements

See the article for an example of the key advantages Eris SOFR swaps have over OTC positions for many clients.

➜ See how with Eris Swap futures

View an archive of the Rates Recap online at

Published on 2 October 2023. Original report published on CME Group.