Ultra U.S. Treasury Bond Futures and Options

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

Ultra T-Bond Futures Contract Specifications

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.

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

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Applications

  • 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