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5-Year T-Note 保证金

交易所 资产类别 产品价差 开始时间 期末 信贷
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 75%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 12/2021 09/2022
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 75%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 12/2022 09/2023
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 75%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 12/2020 09/2021
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 A All dates 90%
NG - 5-YR INTEREST RATE SWAP FUTURES 1 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 90%
F1U - 5-YEAR USD MAC SWAP FUTURES 1 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 5 B All dates 74%
TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 2 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 70%
LIL - 15-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 70%
LII - 12-YEAR ERIS SWAP FUTURES 2 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 70%
LIB - 7-YEAR ERIS SWAP FUTURES 2 B 03/2019 09/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 6 B All dates 70%
S1U - 7-YEAR USD MAC SWAP FUTURES 5 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 70%
LIB - 7-YEAR ERIS SWAP FUTURES 2 B 12/2013 12/2018
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 70%
41 - 30 DAY FED FUND FUTURES 3 B 01/2020 12/2021
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 70%
41 - 30 DAY FED FUND FUTURES 3 B 09/2019 12/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 A All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 1 B 03/2018 09/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 A All dates 70%
LID - 4-YEAR ERIS SWAP FUTURES 1 B 03/2016 12/2017
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 20 A All dates 68%
UBE - LONG TERM U.S. TREASURY BOND FUTURE 3 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 65%
B1U - 30-YEAR USD MAC SWAP FUTURES 1 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 65%
LIE - 30-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 65%
LIO - 20-YEAR ERIS SWAP FUTURES 1 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 65%
41 - 30 DAY FED FUND FUTURES 3 B 06/2019 08/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 5 A All dates 65%
LIC - 3-YEAR ERIS SWAP FUTURES 6 B 03/2018 09/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 65%
CME ED - EURODOLLAR FUTURES 2 A 05/2019 12/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 4 A All dates 60%
I3 - 30Y INTEREST RATE SWAP FUTU 1 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 2 A All dates 60%
T1U - 2-YEAR USD MAC SWAP FUTURES 5 B All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 60%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 03/2019 03/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 6 B All dates 55%
E1U - 20-YEAR USD MAC SWAP FUTURES 5 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 50%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 12/2018 12/2018
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 50%
CME ED - EURODOLLAR FUTURES 2 A 01/2019 04/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 5 B All dates 45%
LIT - 2-YEAR ERIS SWAP FUTURE 6 A 03/2019 09/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 5 A All dates 40%
LIT - 2-YEAR ERIS SWAP FUTURE 6 B 03/2017 12/2018
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 40%
41 - 30 DAY FED FUND FUTURES 2 B 02/2019 05/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 30 A All dates 35%
CME EQUITY INDEX SP - S&P 500 FUTURES 1 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 5 A All dates 35%
EQUITY INDEX YM - E-MINI DOW ($5) FUTURES 1 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 35%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 07/2019 07/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 35%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 06/2019 06/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 35%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 05/2019 05/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 35%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 04/2019 04/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 35%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 03/2019 03/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 35%
CME SR1 - ONE-MONTH SOFR FUTURES 2 A 02/2019 02/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 30%
CME FX JY - JAPANESE YEN FUTURES 1 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 A All dates 30%
CME EM - ONE MONTH EURODOLLAR FUTURES 2 B All dates
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Scan 4 All dates 65%
21 - 10Y TREASURY NOTE FUTURES 12 All dates
25 - 5 YR TREASURY NOTE FUTURES 20 All dates
TN - ULTRA 10-YEAR U S TREASURY NOTE FUT 8 All dates
UBE - LONG TERM U.S. TREASURY BOND FUTURE 3 All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 85%
LIY - 10-YEAR ERIS SWAP FUTURES 2 B 03/2019 09/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 85%
CME ED - EURODOLLAR FUTURES 2 A 03/2021 12/2021
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 85%
CME ED - EURODOLLAR FUTURES 2 A 03/2020 12/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 5 A All dates 83%
26 - 2 YEAR TREASURY NOTE FUTURES 6 B All dates
CBT INTEREST RATES 21 - 10Y TREASURY NOTE FUTURES Delta 3 B All dates 81%
25 - 5 YR TREASURY NOTE FUTURES 5 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 B All dates 80%
N1U - 10-YEAR USD MAC SWAP FUTURES 2 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 3 A All dates 80%
LIY - 10-YEAR ERIS SWAP FUTURES 2 B 12/2012 12/2018
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 80%
CME ED - EURODOLLAR FUTURES 2 A 03/2022 12/2022
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 80%
CME ED - EURODOLLAR FUTURES 2 A 03/2024 12/2024
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 80%
CME ED - EURODOLLAR FUTURES 2 A 03/2023 12/2023
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 80%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 03/2020 09/2020
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 80%
CME ED - EURODOLLAR FUTURES 2 A 03/2026 12/2026
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 80%
CME ED - EURODOLLAR FUTURES 2 A 03/2025 12/2025
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 80%
CME ED - EURODOLLAR FUTURES 2 A 03/2028 12/2028
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 80%
CME ED - EURODOLLAR FUTURES 2 A 03/2027 12/2027
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 80%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 09/2019 12/2019
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 80%
CME SR3 - THREE-MONTH SOFR FUTURES 2 A 06/2019 06/2019
CBT INTEREST RATES 17 - 30 YR U.S. TREASURY BOND FUTURES Delta 1 B All dates 79%
25 - 5 YR TREASURY NOTE FUTURES 5 A All dates
CBT INTEREST RATES 25 - 5 YR TREASURY NOTE FUTURES Delta 1 B All dates 95%
LIW - 5-YEAR ERIS SWAP FUTURES 1 A 03/2019 09/2019

5年期美国国库债券期货

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5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