Ultra U.S. Treasury Bond Futures and Options

 
 

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Managing Longer-Dated Treasury Yield Exposure

Ultra T-Bond futures and options are a natural complement to the U.S. Treasury futures complex, providing market participants with a more direct way to manage long-term interest rate risks and add duration to their portfolios.

The Ultra T-Bond futures contract is the fastest growing interest rate futures product ever introduced by the CME Group exchanges. Adding options to this robust futures market provides even more opportunities for market participants seeking longer-dated, off-balance sheet exposure in Treasury markets.

See Ultra T-Bond Options Contract Specifications

Ultra T-Bond Options Vendor Codes

Contract Design

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 comprises 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.

However, effective with the March 2011 expiry, the deliverable basket for the T-Bond contract will include bonds with remaining terms to maturity of at least 15 years, but less than 25 years. See "Capping the Deliverable Basket for T-Bond Futures: Frequently Asked Questions"

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.

Ultra T-Bond Futures Contract Specifications

Users

Primary Dealers Insurance Companies
Government Sponsored Entities Pension Funds
Central Banks Endowments
Sovereign Wealth Funds Hedge Funds and CTAs
Mutual Funds Leveraged Funds
Asset Managers Proprietary Traders

See What the Analysts Are Saying

Credit Suisse

Citigroup Global Markets

Applications

Ultra T-Bond Strategy Papers

Treasury Options for Fixed Income Asset Managers

Tools

T-Bond and Ultra T-Bond Price Correlations

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

U.S. Treasury Futures Price to Yield Tables

Ultra T-Bond Futures Vendor Codes

Links

Federal Open Market Committee

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

 
 
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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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CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised 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.