Understanding Treasury Futures

The Fundamentals of Trading U.S. Treasury Bond and Note Futures

This document is intended to provide an overview of the fundamentals of trading U.S. Treasury bond and note futures. We assume only a cursory knowledge of coupon-bearing Treasury securities and intend to provide a grounding in cash Treasury markets; some detail regarding the features of the U.S. Treasury futures contracts; and, a discussion of risk management applications with U.S. Treasury futures.

Thirty-year Treasury bond futures were originally introduced on the Chicago Board of Trade in 1977. The product line was augmented over the years by the introduction of 10-year, 5-year, 2-year Treasury note and 30-year “Ultra” Treasury bond futures. This product line has experienced tremendous success as the scale and global significance of U.S. Treasury investment has grown over the years. Today, these products are utilized on an international basis by institutional and individual investors for purposes of both abating and assuming risk exposures.

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Futures & Options Trading

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through the CME Globex electronic trading platform and trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort.

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