Recent fiscal policy has shifted toward increased issuance on the long end of the Treasury curve. In response to the demand from institutional investors with long duration needs, CME Group has announced the launch of Long-Term U.S. Treasury Bond futures, or "Ultra" T-Bonds, beginning in early first quarter 2010. Ultra T-Bond futures will be a natural complement to the U.S. Treasury futures complex, providing market participants with a more direct way to manage long-term risk and add duration to their portfolios.

The key feature distinguishing the Ultra T-Bond from the existing T-Bond futures contract is the relatively narrow range of deliverable securities. The deliverable basket for Ultra T-Bond futures will comprise cash Treasury bonds with at least 25 years of remaining term to maturity. By comparison, deliverable securities for the existing T-Bond contract are bonds with remaining terms to maturity of 15 years or more. See how the deliverable basket for Ultra T-Bond futures compares to the existing T-Bond contract.

In all other respects, the specifications for the Ultra T-Bond futures resemble those for the existing Treasury Bond contract. They are identical in terms of their notional value, minimum tick size, contract critical dates, and notional coupon. Contract critical dates for Ultra T-Bond futures.

Download Ultra T-Bond Futures Fact Card

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• Basis trading
• Duration management
• Hedging long term Treasury exposure
• Treasury yield curve spreads
• Replication of cash Treasury bond and Treasury STRIPS exposures
• Alternative to OTC 30-year interest rate swaps as duration tool

Ultra T-Bond Futures Synthetic Price History
Calculating U.S. Treasury Futures Conversion Factors
U.S. Treasury Futures Conversion Factors
U.S. Treasury Futures Conversion Factor Calculator
U.S. Treasury Futures Conversion Factor Look-Up Tables

Treasury Auction Calendar
Federal Open Market Committee

For more information, contact a member of the Interest Rate Products and Services team.