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Dividends: Short-Term Optimism, Long-Term Concerns

About the Presenter Bluford “Blu” Putnam has served as Managing Director and Chief Economist of CME Group since May 2011. With more than 35 years of experience in the financial services industry and concentrations in central banking, investment research, and portfolio management, Blu serves as CME Group’s spokesperson on global economic conditions. View more reports…

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Dividends: Changing Expectations

Tracking Dividend Expectations The US equity market hit a low on March 23, 2020, at 2220 on the settlement of June S&P500® E-mini futures. Two weeks later, on April 3rd, expectations for future dividend payments, implied by S&P500® annual dividend index futures, reached their lows. At that point in time, investors priced that dividend payments…

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Palm Oil Monthly Update – July 2020

CME USD Malaysian Crude Palm Oil Volume and Open Interest In June 2020, CME Crude Palm Oil volume totaled 6,045 lots (151,125 metric tons) and the end-of-month open interest was 27,705 lots (692,625 metric tons). Volume and end-of-month OI in the first three contract months were 2,345 and 10,468, respectively. USD Malaysian Crude Palm Oil…

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CME FX Swap Rate Monitor – Transparency in to the FX Swap market

Worked Example – looking at USD/JPY: On May 14 2020, the FX Swap Rate Monitor quoted a rate of 43 basis points for the JPY/USD market referencing the June 2020 futures expiry.  This indicates that, were covered interest parity to hold, rates of return in US dollars ought to be 43 basis points higher than…

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Fertilizer Monthly Update – July 2020

Helping the World Advance: CME Group comprises of four Designated Contract Markets (DCMs). Further information on each exchange’s rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX and COMEX. Exchange traded and Over-The-Counter (OTC) derivatives are not suitable for all investors, and involve the risk of loss. Exchange…

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A User’s Guide to Enhanced 3-Year US Treasury Note Futures

Exhibit 1: Comparing today’s (2019) Treasury futures to 2009   Today (2019) Then (2009) % Change Average daily volume (contracts) 4.4M 1.6M +181% Average daily open interest (contracts) 14.8M 3.5M +326% Avg # of large open interest holders 1,511 672 +125% Number of liquid UST futures contracts 6 4 +50% Yield curve spreading via Inter-Commodity Spreads 23K…

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Metals: Caught in a Supply-Demand Tug of War

The resilience of most industrial metals is somewhat surprising considering how supply has grown in recent decades.  Compared to the 1990s, the world is awash in industrial metals.  Over the past quarter century, annual output from copper mines has increased 112%. Steel production is up 162%. Aluminium and iron ore mining supply has increased by…

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Equities: Follow the Narrative

About the Presenter Bluford “Blu” Putnam has served as Managing Director and Chief Economist of CME Group since May 2011. With more than 35 years of experience in the financial services industry and concentrations in central banking, investment research, and portfolio management, Blu serves as CME Group’s spokesperson on global economic conditions. View more reports…

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What the 2020 Russell Reconstitution Tells the Market

The 2020 Russell Index Reconstitution underscores a growing gap between the largest and smallest US stocks. While overall capitalization for the US equity market stayed relatively flat this year, there was a notable divergence between the large- and small-end of the US equity market, driven by the relative strength of US large-caps over the past…

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Hedging FX Exposure in Mexican Corn Imports

Source: CME Group.  Active month CBOT Corn futures settlement price; converted to MXN using CME MXN/USD futures settlement price. Before the spread of Covid-19 began to impact world markets, the relationship between the Mexican peso and the US dollar had been reasonably stable, typically in a range between MXN 19 and MXN 20 per dollar. …

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