Combined, more than 61,000 agency note futures have traded since start-up on March 14. Since launch, 34,771 contracts have traded in the 10-year notes, for an average daily volume of 4,346. A total of 26,257 5-year notes have traded since launch, for a daily average of 3,282 contracts.
"Recent market volatility has underscored the need for risk management tools like our agency note futures," John D. Newhouse, a CME Director and Chairman of its Interest Rate Committee, said. "By offering both 5- and 10-year notes, the CME provides institutional investors with the ability to hedge portfolios of various maturities and gives traders the opportunity to take positions based on their view of the agency market yield curve."
"Market participants have given the CME's agency note futures a positive reception, noting the tight markets offered in the agency pit, with ½- to 1-tick wide bid-offer spreads," Newhouse said. "The rapid growth in open interest and the significant trading volume have surpassed our initial expectations."
The CME was the first exchange to launch agency note futures to meet the burgeoning market for non-callable securities issued by Fannie Mae® (formerly the Federal National Mortgage Association) and Freddie Mac® (formerly the Federal Home Loan Mortgage Corporation), the nation's largest home lending agencies. The debt of both agencies is triple-A rated.
