CBOT Interest Rate Newsfeed

The Chicago Board of Trade (CBOT) division of the CME Group (Chicago Mercantile Exchange), provides interest rate futures traders with a source of treasury market fundamental news events, and headlines.  

This newsfeed provides information on upcoming Treasury auctions, Federal Reserve member speeches, and economic news.  

  1. The Fed's balance sheet is a weekly report presenting a consolidated balance sheet for all 12 Reserve Banks that lists factors supplying reserves into the banking system and factors absorbing reserves from the system. The report is officially named Factors Affecting Reserve Balances, otherwise known as the "H.4.1" report.

    In September 2017, the Fed announced a program of quantitative tightening to reduce its balance sheet through the gradual reduction of both its Treasury and mortgage-backed security holdings. The monthly reductions, executed by reinvesting a decreasing amount of maturing securities, began in October 2017 and gradually increased in size before hitting a plateau in October 2018 at $30 billion per month for Treasuries and $20 billion per month for MBS. In January 2019, the Fed indicated that it would likely bring the program to a close by the end of the year, and in May 2019, the Fed cut the monthly reduction cap for Treasuries to $15 billion and announced it would end the program in September. In its July 31, 2019 FOMC statement, the Federal Reserve announced it is concluding the balance sheet reduction of its aggregate securities effective August 1, 2019, two months earlier than previously indicated. As of this date, all principal payments of maturing Treasuries held by the Federal Reserve will be rolled over at auctions. Principal payments from agency debt and agency mortgage-backed securities up to $20 billion per month will be reinvested in Treasury securities to match the maturity composition of Treasury securities outstanding, while principal payments in excess of $20 billion per month will continue to be reinvested in agency mortgage-backed securities. On October 11, 2019, the Fed announced - while emphasizing its technical nature involving no monetary policy change - that it will begin increasing its balance sheet again starting on October 15 with projected monthly T-bill purchases of around $60 billion until at least the second quarter of 2020. The Fed said it was taking the action to ensure ample reserves in the banking system, evidently in response to recent disruptions in the repo market due to a lack of liquidity. Also bulking up the balance sheet would be repurchase agreements, which the Fed started to conduct in September 2019 to add liquidity to the cash-strapped repo market by lending cash in exchange for Treasuries. To ensure that the supply of reserves remains ample even during periods of sharp increases in non-reserve liabilities, and to mitigate the risk of money market pressures , the Fed said it would continue to conduct term and overnight repurchase agreement operations at least through January 2020, later extended in the implementation note of the January 2020 FOMC statement to at least through April 2020.
  2. The monetary aggregates are alternative measures of the money supply by degree of liquidity. Changes in the monetary aggregates indicate the thrust of monetary policy as well as the outlook for economic activity and inflationary pressures. Money supply is in terms of two componentsM1 and M2 (the Fed formerly produced a version called M3 but no longer does so). M1 and M2 are progressively more inclusive measures of money: M1 is included in M2. M1, the more narrowly defined measure, consists of the most liquid forms of money, namely currency and checkable deposits. The non-M1 components of M2 are primarily household holdings of savings deposits, small time deposits, and retail money market mutual funds.
  3. The Department of Agriculture releases at the end of the month the index of prices received by farmers for the preceeding month. Prices received represent sales from producers to first buyers. They include all grades and qualities. For most items, the current month's preliminary price represents a 3-5 day period around the 15th of the month. However, previous month's prices (revised) cover the entire month. The index is not adjusted for seasonal variation. It includes crop prices and livestock & product prices. Farm prices are monitored by analysts to give early warnings of inflation or deflationary pressures in the economy.
  4. The Energy Information Administration (EIA) provides weekly information on natural gas stocks in underground storage for the U.S. and five regions of the country. The level of inventories helps determine prices for natural gas products.
  5. New unemployment claims are compiled weekly to show the number of individuals who filed for unemployment insurance for the first time. An increasing (decreasing) trend suggests a deteriorating (improving) labor market. The four-week moving average of new claims smooths out weekly volatility.

DeCarley Trading on Twitter

Newsletter Trial