Interest Rate Futures Liquidity Update – 2018
The New Treasury Market Paradigm, published by CME Group in June 2016, compared the evolution of market liquidity in Treasury futures products and corresponding adjacent marketplaces. Among other findings, it confirmed the relative strengthening of Treasury futures liquidity in response to intensifying demand for off-balance-sheet means of holding Treasury note and bond exposures.
The trends it identified have gained significant momentum in the 2.5 years since the paper was published.