20-Year U.S. Treasury Bond futures product overview
Since the U.S. Treasury department reintroduced auctions of the 20-year U.S. Treasury Bond, in early 2020, an additional treasury futures contract has been needed to manage risk associated with this important maturity tenor. With the introduction of the 20-Year U.S. Treasury Bond futures contract, from CME Group, market participants now have a futures contract enabling hedging and trading at the 20-year maturity point on the Treasury yield curve.
Beginning with the September 2022 contract, 20-year futures will be fulfilled by physical delivery of an original-issue, 20-year and 30 year Treasury bond with remaining term to maturity between 19 years 2 months and 19 years 11 months. For practical purposes, delivery-eligible CUSIPs for any given contract delivery month will generally include three old 20’s and three old 30’s. This ensures simultaneously that the contract will be a close proxy for forward-starting cash 20-year Treasury note exposures, and that it will adhere to the established, familiar structure and pricing conventions of the Chicago Board of Trade (CBOT) Treasury futures complex.
As of September 2022, the six potentially eligible securities have an outstanding total notional supply of $196 billion notional equivalent.
Like the existing suite of U.S. Treasury futures, 20-Year futures are available to trade on CME Globex and are block and exchange for physical (EFP) eligible. Margin offsets are available for those interested in trading or spreading versus other Treasury futures.
The 20-Year U.S. Treasury Bond futures are a complementary extension of risk management at the important 20-year maturity tenor of the U.S. Treasury curve.
Additional information can be found here.