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OTR Treasury Futures: 2-, 5- and 10-Yr.
On-The-Run (OTR) U.S. Treasury futures prices are based on the yields of the on-the-run – the most recently auctioned – Treasury securities. These are typically the most liquid points on the Treasury yield curve, and serve as the benchmark Treasury yields at specific maturities.
The OTR Treasury futures contracts:
- Have unique listing cycles that match the underlying cash Treasury securities
- Offer efficient, cost-effective exposure to the Treasury cash market
- Are cash-settled to the pertinent ISDA benchmark swap rate
- Provide opportunities for trading the calendar roll
Get listing cycle details
Benefits
- Direct benchmark price exposure
- Replication of cash/OTC strategies
- Cash settlement at expiration
- Cross margining
Fees Waived Through Dec. 31, 2011:
For ex-pit OTR transactions, including Exchange for Physicals (EFP), Exchange of Futures for Related Positions (EFRP) and block trades.
Comprehensive Product Pages
- 2-Year OTR
- 2-Year OTR Final Settlement
- 5-Year OTR
- 5-Year OTR Final Settlement
- 10-Year OTR
- 10-Year OTR Final Settlement
Comprehensive Listing Cycle, Contract Design and Relative Value Trading Opportunities
Listing Cycle
The OTR Treasury futures listing cycles correspond to the U.S. Treasury auction cycle for 2-year, 5-year, and 10-year Treasury notes.
View the U.S. Treasury's Tentative Auction Schedule
See details on OTR Treasury futures listing cycles.
Contract Design
Each expiry’s lifecycle matches up to the underlying Treasury note’s lifecycle as the "on-the-run" issue. Each expiry is listed around the beginning of cash-market When Issued (WI) trading and continues to trade after such Treasury note is auctioned, throughout the underlying note’s life as the "on-the-run" Treasury security. Trading in the expiry terminates on the morning of the next new auction, approximately two hours before the underlying note becomes the "old".
The OTR Treasury futures trade in price and are cash-settled utilizing on-the-run Treasury yields on the last day of trading. The final settlement pricing formula transforms the underlying on-the-run Treasury yield into a price index, whose price dynamics resemble those of a hypothetical $100,000 face-value Treasury note paying a semi-annual coupon rate of 4 percent per annum. Final settlement occurs on the last trading day. OTR Treasury futures trade both open outcry and on CME Globex.
Relative Value Trading Opportunities
Because OTR futures track the yields of specific treasury issues, the following trades are possible:
- OTR Treasury Cash vs. OTR Treasury Futures:
Capitalize on mispricing in the forward yield curve by spreading OTR Treasury securities against OTR Treasury futures. - OTR Treasury Futures vs. Traditional Treasury Futures:
Create a synthetic version of the popular OTR/CTD cash-futures basis trade by combining OTR Treasury futures with traditional Treasury futures that track the "cheapest to deliver" (CTD). - Treasury Yield Curve Spreads:
Efficiently replicate dynamics of cash market yield curve spreads by spreading OTR Treasury futures tenors as pre-defined Intercommodity spreads on CME Globex. Price action in OTR Treasury futures yield curve spreads will replicate the dynamics of cash market - Spreads vs. LIBOR and Swap Rates:
Execute clean TED (Treasury vs. Eurodollar) and Swap spreads by pairing OTR Treasury futures with Eurodollar futures and Interest Rate Swap futures, respectively.
