Understanding Micro Treasury Futures
Micro Treasury futures provide market participants an efficient and cost-effective method to trade U.S. Treasury benchmark rates at the 10- and 30-year points on the yield curve. These provide traders with the same flexibility found in “classic” Treasury futures contracts but with lower capital commitments and margins that are tailored for individual traders.
U.S. Treasury market and futures
U.S. Treasury notes and bonds are fixed income securities that are issued and backed by the U.S. Treasury Department. U.S. Treasury futures are standardized contracts for the purchase and sale of U.S. government notes or bonds for future delivery. The U.S. government bond market offers liquidity, security (in terms of credit worthiness) and diversity accessible to a global marketplace.
What are Ultra Treasury futures?
While there are a number of Treasury futures contracts along the curve, both Micro Treasury futures contracts track “Ultra” tenors, which represent tighter maturity baskets that offer alternative proxies for 10- and 30-year Treasury exposure compared to regular Treasury futures contracts.
Micro Treasury futures product details
The specifications of both the Micro Ultra 10-Year futures (Globex code: MTN) and the Micro Ultra T-Bond futures are 1/10 their respective “classic” futures counterparts. This means Micro contracts trade with a contract size (DV01), tick size and initial margin that is 1/10 of the standard Treasury futures contracts.
In addition to being smaller, participants should note that Micro contracts are cash settled and have two quarterly contracts listed at any one time. Minimum price increments are 1/2 of 1/32 of a point for Micro Ultra 10-Year futures and 1/32 of one point for Micro Ultra T-Bond futures.
Expiring contracts will terminate two business days prior to the named contract month. The final settlement price for the Micros will be the 2:00 p.m. CT settlement price for their underlying physically delivered futures contract on that date.
| Ultra 10-Year | NEW Micro Ultra 10-Year | 10-Year Yield | |
|---|---|---|---|
| Product code | TN | MTN | 10Y |
| Price convention | Traded in price | Traded in price | Traded in yield |
| Settlement | Physically-settled | Cash-settled | Cash-settled |
| Underlying | Basket of deliverable securities | Ultra 10-Year futures settlement price | BrokerTec 10-Year Yield Index |
| Contract size | $88 DV01* | $8.80 DV01* | $10 DV01 |
| Tick size | $15.625 (1/2 of 1/32 of one point) | $1.5625 (1/2 of 1/32 of one point) | $1.00 (1/10 of 1 bp) |
| Initial margin | $3,000* | $300 (estimate)* | $320* |
| Contracts listed | 3 Quarterly contracts | 2 Quarterly contracts | 2 Monthly contracts |
| Ultra T-Bond | NEW Micro Ultra T-Bond | 30-Year Yield | |
|---|---|---|---|
| Product code | UB | MWN | 30Y |
| Price convention | Traded in price | Traded in price | Traded in yield |
| Settlement | Physically-settled | Cash-settled | Cash-settled |
| Underlying | Basket of deliverable securities | Ultra 10-Year futures settlement price | BrokerTec 10-Year Yield Index |
| Contract size | $204.68 DV01* | $20.47 DV01* | $10 DV01 |
| Tick size | $31.25 (1/2 of 1/32 of one point) | $3.13 (1/2 of 1/32 of one point) | $1.00 (1/10 of 1 bp) |
| Initial margin | $6,400* | $640 (estimate)* | $290* |
For more information, visit cmegroup.com/micro-treasuries.
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