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CME Group launches price comparison tool for cash US Treasuries and futures

  • February 17, 2022

Derivatives market operator, CME Group, has launched UST Market Profile, a tool to bring together listed Treasury futures and BrokerTec cash treasuries in one comprehensive view for global bond traders to help them trade more efficiently between these two complementary liquidity pools.

The new UST Market Profile tool is designed to allow market participants to identify execution efficiencies across CME Group’s listed futures and BrokerTec cash treasuries. Bond traders can use the tool to compare and analyse liquidity, potentially determining the optimal trading method and time of day to transact and minimise the market impact of their trades. It is expected to be the first iteration of the tool with further enhancements anticipated in time.

It provides an hour-by-hour view of bid-ask spreads, order book depth, market activity and volume across several maturities for listed futures and cash treasuries. Additionally, 20-Year US Treasury Bond futures will be viewable in the UST Market Profile tool following their introduction on March 7, pending regulatory reviews.

“By accessing UST Market Profile, market participants will be able to identify patterns of deep liquidity and tight bid-ask spreads across listed futures and cash treasuries markets for the first time ever,” said Agha Mirza, global head of rates and OTC products at CME Group. “Clients can view daily, weekly or monthly historical averages over a period of up to six months to allow them to make informed decisions about how best to minimise costs, achieve execution efficiencies and manage interest rate risk in US Treasury markets.”

“UST Market Profile highlights the value of bringing BrokerTec onto the CME Globex platform and allowing these two important markets to be traded side-by-side,” said John Edwards, global head of BrokerTec. “While there are microstructure differences between futures and cash treasuries, the tool provides market participants with valuable insights to better understand and capitalise on opportunities in both markets.”

During periods of increased volatility, including market-moving events such as inflation figures, jobs numbers or key US Treasury debt auctions, the UST Market Profile tool can provide participants with greater transparency to improve decision making. Additionally, users can see where the tightest top of book prices are across time zones and what depth is available in both CME Group and BrokerTec US Treasuries central limit order books.

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