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10-Year T-Note Margins

交易所 资产类别 产品价差 开始时间 期末 信贷
CME ERIS Standards ZD9230 - 30-YR INT RATE SWAP SEC COUPON Delta 3 A All dates 70%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 5 A All dates
CBT INTEREST RATES B1U - 30-YEAR USD MAC SWAP FUTURES Delta 3 A All dates 70%
21 - 10Y TREASURY NOTE FUTURES 5 B All dates
CME ERIS Standards ZD9130 - ERIS STANDARD 30Y INT RATE SWAP FUT Delta 3 A All dates 70%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 5 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ERIS Standards ZD9220 - ERIS 20-YR INT RATE SWAP SEC COUPON 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ERIS Standards ZD9120 - ERIS 20-YR INT RATE SWAP 1 A All dates
CBT INTEREST RATES NG - 5-YR INTEREST RATE SWAP FUTURES Delta 1 A All dates 70%
21 - 10Y TREASURY NOTE FUTURES 1 B All dates
CME ERIS Standards ZB9204 - ERIS 4-YR INT RATE SWAP SEC Delta 3 A All dates 70%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 2 B All dates
CME ERIS Standards ZB9104 - ERIS 4-YR INT RATE SWAP Delta 3 A All dates 70%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 2 B All dates
CME ERIS Standards ZB9912 - 5 YEAR INVOICE SWAP DEC Delta 3 A All dates 70%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 2 A All dates
CME ERIS Standards ZB9906 - 5 YEAR INVOICE SWAP JUNE Delta 3 A All dates 70%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 2 A All dates
CME ERIS Standards ZB9903 - 5 YEAR INVOICE SWAP MARCH Delta 3 A All dates 70%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 2 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 70%
CME ERIS Standards ZB9909 - 5 YEAR INVOICE SWAP SEP 3 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 70%
26 - 2 YEAR TREASURY NOTE FUTURES 2 B All dates
CBT INTEREST RATES E1U - 20-YEAR USD MAC SWAP FUTURES Delta 4 A All dates 65%
21 - 10Y TREASURY NOTE FUTURES 5 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 A All dates 60%
I3 - 30Y INTEREST RATE SWAP FUTU 2 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 A All dates 60%
CME ERIS Standards ZD9803 - 30 YEAR INVOICE SWAP RESERVE MARCH 3 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 A All dates 60%
CME ERIS Standards ZD9812 - 30 YEAR INVOICE SWAP RESERVE DEC 3 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 A All dates 60%
CME ERIS Standards ZD9806 - 30 YEAR INVOICE SWAP RESERVE JUNE 3 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 A All dates 60%
CME ERIS Standards ZD9809 - 30 YEAR INVOICE SWAP RESERVE SEP 3 A All dates
CME ERIS Standards ZD9912 - 30 YEAR INVOICE SWAP DEC Delta 3 A All dates 60%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 5 A All dates
CME ERIS Standards ZD9909 - 30 YEAR INVOICE SWAP SEP Delta 3 A All dates 60%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 5 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 5 A All dates 60%
CME ERIS Standards ZD9903 - 30 YEAR INVOICE SWAP MARCH 3 A All dates
CME ERIS Standards ZD9906 - 30 YEAR INVOICE SWAP JUNE Delta 3 A All dates 60%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 5 A All dates
CBT INTEREST RATES N1E - 10-YEAR EURO MAC SWAP FUTURES Delta 1 A All dates 60%
21 - 10Y TREASURY NOTE FUTURES 1 B All dates
CBT INTEREST RATES S1U - 7-YEAR USD MAC SWAP FUTURES Delta 5 A All dates 60%
21 - 10Y TREASURY NOTE FUTURES 4 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 60%
CME ERIS Standards ZC9207 - ERIS 7-YR INT RATE SWAP (SECONDARY) 1 A All dates
CBT INTEREST RATES 7I - 7-YR INTEREST RATE SWAP FUT Delta 1 A All dates 60%
21 - 10Y TREASURY NOTE FUTURES 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 60%
CME ERIS Standards ZC9107 - ERIS 7-YR INT RATE SWAP 1 A All dates
CME ERIS Standards ZB9203 - ERIS 3-YR INT RATE SWAP SEC Delta 4 A All dates 60%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 1 B All dates
CME ERIS Standards ZB9103 - ERIS 3-YR INT RATE SWAP Delta 4 A All dates 60%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 1 B All dates
CBT INTEREST RATES T1U - 2-YEAR USD MAC SWAP FUTURES Delta 4 A All dates 60%
21 - 10Y TREASURY NOTE FUTURES 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 55%
CME ED - EURODOLLAR FUTURES 5 B 05/2018 12/2018
CBT INTEREST RATES F1E - 5-YEAR EURO MAC SWAP FUTURES Delta 3 A All dates 50%
21 - 10Y TREASURY NOTE FUTURES 2 B All dates
CME ERIS Standards ZA9912 - 2 YEAR INVOICE SWAP DEC Delta 4 A All dates 50%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 50%
CME ERIS Standards ZA9906 - 2 YEAR INVOICE SWAP JUNE 4 A All dates
CME ERIS Standards ZA9903 - 2 YEAR INVOICE SWAP MARCH Delta 4 A All dates 50%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 1 A All dates
CME ERIS Standards ZA9909 - 2 YEAR INVOICE SWAP SEP Delta 4 A All dates 50%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 50%
CME ED - EURODOLLAR FUTURES 5 B 01/2018 04/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 A All dates 45%
CMX METALS CX-GC - COMEX 100 GOLD FUTURES 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 45%
41 - 30 DAY FED FUND FUTURES 2 B 01/2019 12/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 45%
41 - 30 DAY FED FUND FUTURES 2 B 09/2018 12/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 40%
CME ERIS Standards ZA9202 - ERIS 2-YR INT RATE SWAP SEC COUPON 4 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 40%
CME ERIS Standards ZA9102 - ERIS STANDARD 2Y INT RATE SWAP FUTU 4 A All dates
CME EQUITY INDEX SP - S&P 500 FUTURES Delta 1 A All dates 35%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 15 A All dates
CBT EQUITY INDEX YM - E-MINI DOW ($5) FUTURES Delta 1 A All dates 35%
INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 3 A All dates
CBT INTEREST RATES T1E - 2-YEAR EURO MAC SWAP FUTURES Delta 4 A All dates 35%
21 - 10Y TREASURY NOTE FUTURES 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 30%
CME EB - THREE MONTH EURIBOR FUTURES 5 B 03/2024 12/2024
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 30%
CME EB - THREE MONTH EURIBOR FUTURES 5 B 03/2025 12/2025
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 30%
CME EB - THREE MONTH EURIBOR FUTURES 5 B 03/2023 12/2023
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 30%
CME EB - THREE MONTH EURIBOR FUTURES 5 B 03/2026 12/2026
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 30%
CME EB - THREE MONTH EURIBOR FUTURES 5 B 03/2027 12/2027
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 30%
CME EB - THREE MONTH EURIBOR FUTURES 5 B 03/2022 12/2022
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 30%
CME EB - THREE MONTH EURIBOR FUTURES 5 B 03/2021 12/2021
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 30%
CME EB - THREE MONTH EURIBOR FUTURES 5 B 03/2019 12/2019
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 30%
CME EB - THREE MONTH EURIBOR FUTURES 5 B 03/2020 12/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 30%
CME EM - ONE MONTH EURODOLLAR FUTURES 5 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 25%
41 - 30 DAY FED FUND FUTURES 2 B 06/2018 08/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 25%
41 - 30 DAY FED FUND FUTURES 2 B 01/2018 01/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 25%
41 - 30 DAY FED FUND FUTURES 2 B 02/2018 05/2018
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 A All dates 20%
CME EQUITY INDEX NQ - E-MINI NASDAQ 100 FUTURES 1 A All dates
CBT INTEREST RATES TN - ULTRA 10-YEAR U S TREASURY NOTE FUT Scan 8 All dates 75%
21 - 10Y TREASURY NOTE FUTURES 12 All dates
17 - 30 YR U.S. TREASURY BOND FUTURES 4 All dates
25 - 5 YR TREASURY NOTE FUTURES 20 All dates
UBE - LONG TERM U.S. TREASURY BOND FUTURE 3 All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 85%
CME ERIS Standards ZC9210 - 10-YR INT RATE SWAP SEC COUPON 1 A All dates
CBT INTEREST RATES N1U - 10-YEAR USD MAC SWAP FUTURES Delta 1 A All dates 85%
21 - 10Y TREASURY NOTE FUTURES 1 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 85%
CME ERIS Standards ZC9110 - ERIS STANDARD 10Y INT RATE SWAP FUT 1 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 5 A All dates 85%
21 - 10Y TREASURY NOTE FUTURES 3 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 85%
CME ED - EURODOLLAR FUTURES 5 B 03/2022 12/2022
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 85%
CME ED - EURODOLLAR FUTURES 5 B 03/2024 12/2024
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 85%
CME ED - EURODOLLAR FUTURES 5 B 03/2023 12/2023
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 85%
CME ED - EURODOLLAR FUTURES 5 B 03/2021 12/2021
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 85%
CME ED - EURODOLLAR FUTURES 5 B 03/2020 12/2020
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 A All dates 80%
CME ERIS Standards ZD9215 - ERIS 15-YR INT RATE SWAP SEC COUPON 2 A All dates
CME ERIS Standards ZD9112 - ERIS 12-YR INT RATE SWAP Delta 1 A All dates 80%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 1 A All dates
CME ERIS Standards ZD9112 - ERIS 12-YR INT RATE SWAP Delta 1 A All dates 80%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 80%
CME ERIS Standards ZB9205 - ERIS 5-YR INT RATE SWAP SEC COUPON 3 A All dates
CBT INTEREST RATES F1U - 5-YEAR USD MAC SWAP FUTURES Delta 3 A All dates 80%
21 - 10Y TREASURY NOTE FUTURES 2 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 80%
CME ERIS Standards ZB9105 - ERIS STANDARD 5Y INT RATE SWAP FUTU 3 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 75%
66 - 10Y INTEREST RATE SWAP FUTURES 1 B All dates
CME ERIS Standards ZC9912 - 10 YEAR INVOICE SWAP DEC Delta 1 A All dates 75%
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 75%
CME ERIS Standards ZC9906 - 10 YEAR INVOICE SWAP JUNE 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 75%
CME ERIS Standards ZC9903 - 10 YEAR INVOICE SWAP MARCH 1 A All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 1 A All dates 75%
CME ERIS Standards ZC9909 - 10 YEAR INVOICE SWAP SEP 1 A All dates
CBT INTEREST RATES TN - ULTRA 10-YEAR U S TREASURY NOTE FUT Delta 2 A All dates 75%
21 - 10Y TREASURY NOTE FUTURES 3 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 75%
CME ED - EURODOLLAR FUTURES 5 B 03/2025 12/2025
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 75%
CME ED - EURODOLLAR FUTURES 5 B 03/2027 12/2027
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 75%
CME ED - EURODOLLAR FUTURES 5 B 03/2026 12/2026
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 2 A All dates 75%
CME ED - EURODOLLAR FUTURES 5 B 03/2019 12/2019

10年期美国国库债期货

CBOT美国国库债券期货具有充足的流动性,可以24小时在多个方面作为有效的工具:对冲利率风险、提升潜在收益、调整投资组合久期、对利率进行投机以及进行价差交易。

合约追踪美国政府为债务融资(截至2017年3月底,未偿还可销售债券金额达14万亿美元)而发行和支持的美国国库债券、固定收益证券的可交割篮子。

在美国收益率曲线提供的多重到期时间点的合约中,5年和10年期国库债券(长期国债)期货的交投最为活跃。

交易10年期国库债券期货的优势

  • 充足的流动性
  • 买卖价差紧有助于在建立/退出头寸时,减少一部分的交易成本
  • 流动性的多重获取方式,例如通过中央限价订单簿、大宗交易和EFRP等
  • 利用利率合约和标准普尔500指数以及黄金的基准期货,获得保证金对消的节省
  • 控制庞大的名义价值合约只需相对较小的资金量

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