A more precise hedge for 20-year Treasury exposure

20-Year U.S. Treasury Bond futures will offer greater efficiency and precision in managing exposure at the 20-year maturity point on the U.S. Treasury curve. Enjoy new curve and basis spreading opportunities with a contract that creates a close proxy for forward-starting cash 20-year bond exposures through a deliverable basket of the four most recently issued 20-year Treasury bonds with remaining term to maturity between 19 years 2 months to 20 years.

Features and benefits

More precise 20Y hedging

A focused deliverable basket of the four most recently issued 20-year bonds, including the on-the-run, the old, and the double-old – keeps maturity in range.

Yield curve spreads

A full suite of inter-commodity spreads vs. established tenors will offer new curve trading opportunities while assisting with liquidity development.

Relative-value opportunities

Trade the 20Y futures-cash basis (via EFP) or hedge neighboring swap exposures at the 20-year term to maturity with Invoice Swap Spreads (via EFR).

Capital efficiencies

Enjoy margin offsets vs. existing interest rate products. Portfolio margining with CME-cleared interest rate swaps is expected later in 2022.

Product specs

CONTRACT UNIT

One (1) U.S. 20-Year Treasury Bond having a face value at maturity of $100,000

Deliverable grade

Original issue 20-year Treasury bond with not less than 19 years 2 months and not more than 20 years of remaining term to maturity from first day of futures delivery month.

PRICE QUOTATION

Points and fractions of points with par on the basis of 100 points

MINIMUM PRICE FLUCTUATION

Outrights: 1/32 of one point (0.03125) = $31.25
Calendar spreads: 1/4 of 1/32 of one point (0.0078125) = $7.8125

LISTED CONTRACTS

Quarterly contracts (Mar, Jun, Sep, Dec) listed for 3 consecutive quarters beginning with June 2022

SETTLEMENT METHOD

Deliverable

TERMINATION OF TRADING

Trading terminates at 12.01 p.m. CT, 7 business days prior to the last business day of the contract month.

LAST DELIVERY DATE

Last business day of the delivery month.

DELIVERY PROCEDURE

Federal Reserve book-entry wire-transfer system.

The delivery invoice price equals the futures contract settlement price times a conversion factor, plus accrued interest.  The conversion factor is the price of $1 par value of the delivered note to yield 6 percent per annum.

LAST DELIVERY DATE

Last business day of the delivery month.

Block Trade Threshold

RTH-1000; ETH-500; ATH-250

Trade match Algorithm

F-FIFO 100%

Product code

TWE

PRODUCTS

Invoice Swap Spread Trading

Explore packaged trades between Treasury futures and forward-starting interest rate swaps, a liquid alternative to spreading vs. cash treasuries.

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