CME Group’s (NASDAQ:) T-Bill futures, launched on Monday last week, have already seen significant trading activity with over 6,000 contracts traded and an open interest of more than 1,500 contracts. The product has quickly gained traction among clients such as J.P. Morgan and DRW who are using these cash-settled futures to manage yield risks associated with short-term U.S. government debt.
The futures are based on the 13-week U.S. Treasury Bill auction discount yield. Eric Birenberg of J.P. Morgan and Andrew Hennelly of DRW indicated their firms’ plans to use these futures for trading spreads between SOFR futures and T-Bill futures. This approach offers efficient risk hedging and increased liquidity.
The launch of T-Bill futures comes at a time when the U.S. Treasury market is experiencing a record risk transfer, with open interest reaching $2.4 trillion this year, marking a 49% increase year-on-year. The surge in activity has involved more than 25 market participants.
T-Bill futures have been recognized as a capital-efficient risk management tool, providing opportunities for inter-commodity spread trading and margin offsetting. They will soon be eligible for portfolio margining against other cleared interest rate swaps and futures.
This development coincides with a broader surge in CME’s range of Treasury futures, which have experienced a 49% increase from last year, hitting an unprecedented open interest of $2.4 trillion. Investors are utilizing these futures to efficiently manage yield risk linked to 13-week U.S. Treasury securities.
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