Cme Group It TRTFT Li Idit Interest Rate Futures Liquidity: 3 Quarter, 2011

CME Group Interest R t F t I t t Rate Futures Li idit Liquidity
3rd Quarter, 2011

** NEW SECTION INCLUDED ** Treasury Futures Quarterly Roll Liquidity
James Boudreault, CFA Research & Product Development

www.cmegroup.com/trading/interest-rates/interest-rate-futures-liquidity.html
Table of Contents
1. 1 Interest Rate Products Update 2. Eurodollar Futures 3. **NEW SECTION** Treasury Futures Quarterly Roll NEW SECTION 4. Treasury Futures 5. On-The-Run Treasury Futures y 6. Fed Funds Futures 7. Swap Futures
2011 CME Group. All rights reserved
Interest Rate Products Update

Product Highlights
Over $50 Billion in Cleared Interest Rate Swaps (USD & EURO) New Treasury Futures Liquidity Tool (weekly liquidity display)
www.cmegroup.com/liquidity
Effective Date
as of October 18, 2011 October 1, 2011 October 15, 2011 November 7, 2011
Lower Eurodollar Block Fees

www.cmegroup.com/company/files/CME_Fee_Schedule.pdf
Finer Strike Arrays for 2-Year and 5-Year Treasury Options

www.cmegroup.com/tools information/advisorySearch.html www cmegroup com/tools-information/advisorySearch html - Advisory Notice 20111017
New Products Launched

Ultra T-Bond Futures Options on Ultra T-Bond Futures On-The-Run (OTR) Treasury Futures: 2-, 5-, and 10-Year Eurodollar Mid-Curve Options: 3rd and 4th year Green and Blue Weekly Options on Treasury Futures: 2 5 10 30 Year and Ultras 2-, 5-, 10-, 30-Year, Fed Funds Futures: 3rd year Green Sovereign Yield Spread Futures Fed Funds Mid-Curve Options Euribor Futures Eurodollar Green (3rd year) Options
Date of Launch
January 11, 2010 June 7, 2010 October 25, 2010 December 20, 2010 January 25 2011 25, February 28, 2011 May 23, 2011 June 20, 2011 October 3, 2011 October 17, 2011
Eurodollar Futures Liquidity E d ll F t Li idit
Eurodollar Futures Liquidity

5thQuarterly(1st Red)ContractMonth
CalendarTradingMonthAverages,GlobexRTH
20,000
AvgBid/AskQty05 Avg Bid/Ask Qty 05 AvgBid/AskQty04 Avg Bid/Ask Qty 04 AvgBid/AskQty01 AvgBid/AskQty03 Avg Bid/Ask Qty 03 EurodollarADV
4,000,000
AvgBid/AskQty02
18,000 16,000
3,500,000
3,000,000 14,000 14,000
Bo ookSize
12,000 10,000 8,000 6,000
2,500,000
2,000,000
1,500,000
1,000,000 4,000 2,000 0 500,000
Source:CMEGroup
ADV
Eurodollar Deferred Futures Liquidity Green (3rd) Year Liquidity

BookSize
6,000
FrontGreen Contract;CalendarTradingMonthAverage,GlobexRTH
5,000
AvgBid/AskQty05 AvgBid/AskQty04 AvgBid/AskQty03
4,000
AvgBid/AskQty02 AvgBid/AskQty01
3,000
2,000
1,000
Source:CMEGroup
Eurodollar Futures Liquidity Blue (4th) Year Liquidity

BookSize
1,600 1,400 1,200 1,000 800 600 400 200 0 AvgBid/AskQty05 AvgBid/AskQty04 AvgBid/AskQty03 AvgBid/AskQty02 Avg Bid/Ask Qty 02 AvgBid/AskQty01
Front Blue Contract;CalendarTradingMonthAverages,GlobexRTH
Source:CMEGroup
Eurodollar Futures Liquidity Gold (5th) Year Liquidity

BookSize
300 AvgBid/AskQty05 / AvgBid/AskQty04 AvgBid/AskQty03 AvgBid/AskQty02 AvgBid/AskQty01 Avg Bid/Ask Qty 01
Front Gold Contract;CalendarTradingMonthAverages,GlobexRTH
250
200
150
100
50 50
Source:CMEGroup
Eurodollar Futures Liquidity Across the Curve

Top of the Book Liquidity by Contract Month
AverageSizeofBestBid/Ask,GlobexRTH
September130,2011
12,000 ,
11,238
10,000
TopofBook kBid/AskSiz ze
8,000
6,000
4,438
4,000
2,746 2,032
2,000
1,455
1,068
804
570
441
369
269
175
125
114
69
40
Dec11 Mar12 Jun12 Sep12 Dec12 Mar13 Jun13 Sep13 Dec13 Mar14 Jun14 Sep14 Dec14 Mar15 Jun15 Sep15
ContractMonth
Source:CMEGroup

Cumulative Liquidity, Levels 1 & 2, by Contract Month
CumulativeSizeofBid/AskOrders1&2,GlobexRTHAverage
18,000 16,000 14,000 12,000 10,000 8,000 6,000 4,000 2,000 Dec11 Mar12 Jun12 Sep12 Dec12 Mar13 Jun13 Sep13 Dec13 Mar14 Jun14 Sep14 Dec14 Mar15 Jun15 Sep15
September130,2011
C CumulativeB BookSize1& &2
ContractMonth
Source:CMEGroup

ADV & Open Interest by Contract Month
ContractMonthVolume&OpenInterest
September130,2011
ADV OpenInterest
1,600,000 1,500,000 1,400,000 1,300,000
V Volume&Op penInterest
1,200,000 1,100,000 1,000,000 900,000 800,000 700,000 600,000 500,000 400,000 300,000 200,000 100,000 Dec11 Mar12 Jun12 Sep12 Dec12 Mar13 Jun13 Sep13 Dec13 Mar14 Jun14 Sep14 Dec14 Mar15 Jun15 Sep15
ContractMonths
Source:CMEGroup
** NEW SECTION ** Treasury Futures Quarterly Roll Liquidity
Treasury Futures Quarterly Roll Liquidity

2YearTreasuryFutures,(TU)CalendarRoll
120,000
NineDayAverages,GlobexRTH
AvgBid/AskQty3rdLevel AvgBid/AskQty2ndLevel
ZNU1 ZNZ1
inBillions, USD
$24.0
100,000
AvgBid/AskQty1(Best)
$20.0
80,000
$16.0
60,000
$12.0
40,000
ZNM1 ZNU1 NM NU
$8.0
20,000
ZNH1 ZNM1
$4.0
17Feb 02Mar,2011 20May 02Jun,2011 22Aug 01Sep,2011
$ $
RollPeriod
Source:CMEGroup
BookSize(NotionalVa alue)
BookS Size (Contrac cts)

5YearTreasuryFutures(FV)CalendarRoll
40,000 35,000 30,000 25,000 20,000 15,000
ZFH1 ZFM1
NineDayPeriodAverages,GlobexRTH
AvgBid/AskQty3rdLevel AvgBid/AskQty2ndLevel Avg Bid/Ask Qty 2nd Level AvgBid/AskQty1(Best)
ZFU1 ZFZ1 ZFM1 ZFU1
inBillions, USD
$4.0 $3.5 $ $3.0 $2.5 $2.0 $1.5 $1.0 $0.5 $
10,000 5,000 17Feb 02Mar,2011 17 Feb 02 Mar 2011 19May 01Jun,2011 19 May 01 Jun 2011 22Aug 01Sep,2011 22 Aug 01 Sep 2011
RollPeriod
Source:CMEGroup
BookSiz (NotionalValue) ze
Book kSize (Contr racts)

10YearTreasuryFutures(TY)CalendarRoll
60,000
AvgBid/AskQty3rdLevel AvgBid/AskQty2ndLevel Avg Bid/Ask Qty 2nd Level
ZNM1 ZNU1
inBillions, USD
$6.0
50,000
AvgBid/AskQty01(Best)
$5.0
40,000 40 000
ZNU1 ZNZ1
$4.0 $4 0
30,000
$3.0
20,000
$2.0
10,000
ZNH1 ZNH1 ZNM1
$1.0
RollPeriod
Source:CMEGroup
BookSize (NotionalV e Value)

TreasuryBondFutures(US)CalendarRoll
25,000
USH1 USM1
AvgBid/AskQty03 AvgBid/AskQty02 Avg Bid/Ask Qty 02 AvgBid/AskQty01(Best)
USU1 USZ1
inBillions, USD
$2.5
20,000
$2.0
USM1 USU1
15,000
$1.5
10,000
$1.0
5,000 5 000
$0.5 $0 5
RollPeriod
Source:CMEGroup
BookSize (NotionalV e Value)

UltraTreasuryBondFutures(UB)CalendarRoll
80,000 AvgBid/AskQty3rdLevel 70,000 60,000 50,000 40,000 30,000
UBH1 UBM1
AvgBid/AskQty2ndLevel / AvgBid/AskQty1(Best)
UBU1 UBU1 UBZ1
inBillions, USD
$8.0 $7.0 $6.0 $5.0 $4.0 $3.0 $2.0 $1.0 $
BookSize (Contra acts)
20,000 10,000 23Feb 07Mar,2011

Bloomberg Ticker:WNxx WNxx Source:CMEGroup
23May 03Jun,2011
23Aug 02Sep,2011
RollPeriod
BookSize
(NotionalValue)
UBM1 UBU1
Treasury Futures Li idit T F t Liquidity
Treasury Futures Liquidity

2YearTreasuryFuturesFrontMonth
35,000
500,000 450,000 400,000 350,000 300,000 250,000
30,000
25,000
AvgBid/AskQty01 ADV(rightaxis) ADV (right axis)
BookSize
20,000
15,000
200,000 200,000 150,000 100,000
10,000
5,000 5 000 50,000
Source:CMEGroup
ADV

5YearTreasuryFuturesFrontMonth 5 Year Treasury Futures Front Month
7,000
900,000 800,000 700,000 600,000 500,000 1,000,000
6,000
5,000
ADV(rightaxis)
BookSize
4,000
3,000 3,000
400,000 300,000 200,000 ,
2,000
1,000
100,000
Source:CMEGroup
ADV

10YearTreasuryFuturesFrontMonth
12,000
AvgBid/AskQty05 AvgBid/AskQty04 Avg Bid/Ask Qty 04
1,800,000 , , 1,600,000 1,400,000 1,200,000 2,000,000
10,000
8,000
ADV(rightaxis)
BookSize
6,000
1,000,000 800,000
4,000
600,000 400,000
2,000
200,000
Source:CMEGroup
ADV

TreasuryBondFutures(US)FrontMonth Treasury Bond Futures (US) Front Month
5,500 AvgBid/AskQty05 5,000 4,500 AvgBid/AskQty04 AvgBid/AskQty03 / AvgBid/AskQty02 AvgBid/AskQty01 ADV(rightaxis) 3,500 3,500 3,000
300,000 400,000 500,000
600,000
Book kSize
4,000
2,500 2,000 1,500 1,000 500

100,000 100,000
200,000
Source:CMEGroup

UltraTreasuryFutures(UB) Ultra Treasury Futures (UB)
AverageDailyVolume&OpenInterest
450,000 400,000 350,000 300,000 300 000 250,000 200,000 150,000 100,000 50,000
ADV
OpenInterest
Bloomberg Ticker:WN Source:CMEGroup

UltraTreasuryFutures(UB)FrontMonth ( )
700
450,000 400,000 400,000 350,000 300,000 250,000 200,000 150,000
600
500
AvgBid/AskQty01
OpenInterest(rightaxis)
BookSize
400
300
200 100,000 100 50,000
Bloomberg Ticker:WN Source:CMEGroup
ADV& &OpenIntere est
ADV(rightaxis)
New On-The-Run (OTR) Treasury Futures Liquidity
www.cmegroup.com/otr
On-The-Run (OTR) Treasury Futures Liquidity

10YearOTRTreasuryFutures(TN)FrontMonth
$50,000,000
$40,000,000
Not tionalBookS Size
AvgBid/AskQty01
$30,000,000
$20,000,000 , ,
$10,000,000
$0
Bloomberg TickerT0(T0TZero") ContractMonthsG,K,Q,X Source:CMEGroup

5YearOTRTreasuryFutures(T5)FrontMonth
$45,000,000
AvgBid/AskQty05
$40,000,000 $35,000,000
AvgBid/AskQty04 AvgBid/AskQty03 Avg Bid/Ask Qty 03 AvgBid/AskQty02 AvgBid/AskQty01
N NotionalBoo okSize
$30,000,000 $25,000,000 $20,000,000 $15,000,000 $10,000,000 $5,000,000 $0
Bloomberg TickerZ5 ContractMonthsF,G,H,J,K,M,N,Q,U,V,X,Z Source:CMEGroup

2YearOTRTreasuryFutures(T2)FrontMonth
$100,000,000
AvgBid/AskQty05
$90,000,000 $80,000,000 $70,000,000
Noti ionalBookS Size
AvgBid/AskQty01
$60,000,000 $50,000,000 $40,000,000 $40 000 000 $30,000,000 $20,000,000 $10,000,000 $0
Bloomberg TickerZ2 ContractMonthsF,G,H,J,K,M,N,Q,U,V,X,Z Source:CMEGroup
Fed F d F t F d Funds Futures Liquidity Li idit
Fed Funds Futures Liquidity Across the Curve

Top of the Book Liquidity by Contract Month
AverageSizeofBestBid/Ask,GlobexRTH
September130,2011
8,000
7,000
6,676
TopofBook kBid/AskSiz ze
6,000
5,000
4,000
3,618 2,879 2,080
3,000
2,000
1,558 1,558 1,037 825
1,000
617
458
468
301
190
182
138
91
76
49
29
Sep11 Oct11 Nov11 Dec11 Jan12 Feb12 Mar12 Apr12 May12 Jun12 Jul12 Aug12 Sep12 Oct12 Nov12 Dec12 Jan13 Feb13
ContractMonth
Source:CMEGroup
Fed Funds Futures Liquidity Across the Curve

Cumulative Liquidity Levels One through Five
AverageCumulativeSizeofBid/AskOrders15,GlobexRTH
September130,2011
AvgBid/AskQty01 14,000 13,000 12,000 AvgBid/AskQty02 AvgBid/AskQty03 AvgBid/AskQty04 AvgBid/AskQty05
Cu umulativeBo ookSize15
11,000 11 000 10,000 9,000 8,000 7,000 6,000 5,000 4,000 3,000 2,000 1,000 Sep11 Oct11 Nov11 Dec11 Jan12 Feb12 Mar12 Apr12 May12 Jun12 Jul12 Aug12 Sep12 Oct12 Nov12 Dec12 Jan13 Feb13
ContractMonth
Source:CMEGroup
Fed Funds Futures Liquidity Volume & Open Interest by Contract Month
ContractMonthADV&OpenInterest September130,2011
ADV
70,000 65,000 60,000 55,000
OpenInterest
A ADV&Open nInterest
50,000 45,000 40,000 35,000 30,000 25,000 20,000 15,000 10,000 5,000 Sep11 Oct11 Nov11 Dec11 Jan12 Feb12 Mar12 Apr12 May12 Jun12 Jul12 Aug12 Sep12 Oct12 Nov12 Dec12
ContractMonths
Source:CMEGroup
Swap F t S Futures Li idit Liquidity
Swap Futures Liquidity

AverageBestB/ASpreadinBasisPointsduringQ3,RTH=1.0bps NotionalAverageTopofBook=$22m/AvgTopofBookDV01~$11,000 Notional Average Top of Book $22m / Avg Top of Book DV01 ~ $11 000
5YearSwapFuturesFrontMonth
1,200
1,000
800
AvgBid/AskQty01
Boo okSize
600
400
200
Source:CMEGroup
Swap Futures Liquidity

AverageBestB/ASpreadinBasisPointsduringQ3,RTH=0.65bps NotionalAverageTopofBook=$25m/AvgTopofBookDV01 $23 000 Notional Average Top of Book = $25m / Avg Top of Book DV01 ~$23,000
10YearSwapFuturesFrontMonth
1,200
AvgBid/AskQty05
1,000
800
Boo okSize
600
400
200
Source:CMEGroup
For more information:

James Boudreault, CFA Director Research & Product Development
312-930-3247 James.Boudreault@cmegroup.com
Interest Rate Resources:

www.cmegroup.com/liquidity www.cmegroup.com/ir www.cmegroup.com/irs www.cmegroup.com/cds www.cmegroup.com/yield www.cmegroup.com/ultra www.cmegroup.com/otr www cmegroup com/otr www.cmegroup.com/wto www.cmegroup.com/sovy www.cmegroup.com/euribor New Quantitative Tool to measure liquidity and execution strategies Interest Rate Products Home Page, includes new Quantitative Tools OTC Interest Rate Swap (IRS) Clearing OTC Credit Default Swap (CDS) Clearing New Yield Center for DV01-weighted hedge ratios Ultra Treasury Bond Futures Home Page On-The-Run (OTR) Treasury Futures Home Page Weekly Options on traditional Treasury Futures New Sovereign Yield Spread Futures Home Page New Euribor Futures Home Page
How Liquidity is Calculated

Globex order book liquidity data are calculated utilizing time-weighted-average (TWA) Globex order book sizes at each generic price level (i.e. best bid/offer, 2nd bes , best, 3rd best, 4th best, a d 5th best). bes , bes , and bes ) Bid/Ask Qty 1 = the average Best Bid and Offer book sizes and are also referred to as the Top of the Book. Bid/Ask Qty 2 = the average order book sizes at the 2nd-best bid and 2nd-best offer, and so on. Th bid and offer sizes are averaged t The d ff i d together, such th t if th TWA B t bid size = th h that the Best i 36 and the TWA Best offer size = 34, then the Avg Bid/Ask Qty 1 would equal 35. The time-weighted-averages are derived from 7:00 am 4:00 pm, Chicago time, unless otherwise noted.
ISDA is a registered trademark, and ISDAFIXsm is a registered service mark, of the International Swaps and Derivatives Association, Inc. ISDA Benchmark mid-market par swap rates are collected at 11am New York time by Reuters Limited and ICAP plc and published on Reuters page ISDAFIX3 and Bloomberg page ISDAFIX1. Source: Reuters Limited.
Futures trading is not suitable for all investors, and involves the risk of loss. Futures are a leveraged investment, and because only a percentage of a contracts value is required to trade, it is possible to lose more than the amount of money deposited for a futures position. Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles. And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade. All references to options refer to options on futures. The Globe Logo, CME, Chicago Mercantile Exchange, and Globex are trademarks of Chicago Mercantile Exchange Inc. CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago. CME Group is a trademark of CME Group Inc. All other trademarks are the property of their respective owners. The information within this presentation has been compiled by CME Group for general purposes only. CME Group assumes only no responsibility for any errors or omissions. Although every attempt has been made to ensure the accuracy of the information within this presentation, CME Group assumes no responsibility for any errors or omissions. Additionally, all examples in this presentation are hypothetical situations, used for explanation purposes only, and should not be considered investment advice or the results of actual market experience. All matters pertaining to rules and specifications herein are made subject to and are superseded by official CME, CBOT and CME Group rules Current rules should be consulted in all cases concerning contract specifications rules. specifications. Copyright 2011 CME Group. All rights reserved.

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CME Group Interest R t F t I t t Rate Futures Li idit Liquidity

3rd Quarter, 2011

James Boudreault, CFA Research & Product Development

2011 CME Group. All rights reserved

Interest Rate Products Update

Lower Eurodollar Block Fees

Finer Strike Arrays for 2-Year and 5-Year Treasury Options

New Products Launched

Eurodollar Futures Liquidity E d ll F t Li idit

2011 CME Group. All rights reserved

Eurodollar Futures Liquidity

3,000,000 14,000 14,000

12,000 10,000 8,000 6,000

1,000,000 4,000 2,000 0 500,000

Eurodollar Deferred Futures Liquidity Green (3rd) Year Liquidity

AvgBid/AskQty05 AvgBid/AskQty04 AvgBid/AskQty03

Eurodollar Futures Liquidity Blue (4th) Year Liquidity

Front Blue Contract;CalendarTradingMonthAverages,GlobexRTH

Eurodollar Futures Liquidity Gold (5th) Year Liquidity

Front Gold Contract;CalendarTradingMonthAverages,GlobexRTH

Eurodollar Futures Liquidity Across the Curve

Eurodollar Futures Liquidity Across the Curve

C CumulativeB BookSize1& &2

Eurodollar Futures Liquidity Across the Curve

1,600,000 1,500,000 1,400,000 1,300,000

** NEW SECTION ** Treasury Futures Quarterly Roll Liquidity

2011 CME Group. All rights reserved

Treasury Futures Quarterly Roll Liquidity

17Feb 02Mar,2011 20May 02Jun,2011 22Aug 01Sep,2011

BookS Size (Contrac cts)

Treasury Futures Quarterly Roll Liquidity

Book kSize (Contr racts)

Treasury Futures Quarterly Roll Liquidity

ZNH1 ZNH1 ZNM1

17Feb 02Mar,2011 23May 03Jun,2011 22Aug 01Sep,2011

BookSize (NotionalV e Value)

Book kSize (Contr racts)

Treasury Futures Quarterly Roll Liquidity

18Feb 03Mar,2011 20May 02Jun,2011 22Aug 01Sep,2011

BookSize (NotionalV e Value)

Book kSize (Contr racts)

Treasury Futures Quarterly Roll Liquidity

BookSize (Contra acts)

20,000 10,000 23Feb 07Mar,2011

Treasury Futures Li idit T F t Liquidity

2011 CME Group. All rights reserved

Treasury Futures Liquidity

500,000 450,000 400,000 350,000 300,000 250,000

AvgBid/AskQty01 ADV(rightaxis) ADV (right axis)

200,000 200,000 150,000 100,000

5,000 5 000 50,000

Treasury Futures Liquidity

AvgBid/AskQty03 AvgBid/AskQty02 AvgBid/AskQty01

400,000 300,000 200,000 ,

Treasury Futures Liquidity

AvgBid/AskQty03 AvgBid/AskQty02 AvgBid/AskQty01

Treasury Futures Liquidity

2,500 2,000 1,500 1,000 500

Treasury Futures Liquidity

Bloomberg Ticker:WN Source:CMEGroup

Treasury Futures Liquidity

450,000 400,000 400,000 350,000 300,000 250,000 200,000 150,000

200 100,000 100 50,000

NEW SECTION Treasury Futures Quarterly Roll Liquidity