Micro Treasury Yield futures

Micro-sized treasuries, major possibilities
Coming August 16*

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Manage US Treasury yield exposure with simplicity and precision

Discover a streamlined approach to trading interest rate markets with Micro Treasury Yield futures, contracts based directly on yields of the most recently auctioned Treasury securities at key tenor points across the curve.

*Subject to regulatory review.

Key features

Traded in yield

Directly references the most widely followed US Treasury market metric – yields of recently auctioned Treasury securities.

Four major tenors

Offers trading choice with contracts on four key tenors: 2-Year Note, 5-Year Note, 10-Year Note, and 30-Year Bond.

Simple, cash-settled design

All four contracts are sized at $10 dollar per basis point of yield (0.01%), creating seamless curve spreading opportunities.

Built on leading BrokerTec benchmarks

Anchored by BrokerTec US Treasury benchmarks, sourced from transactions on the leading cash UST trading platform.

Contract specifications

  Micro 2-Year Yield futures Micro 5-Year Yield futures Micro 10-Year Yield futures Micro 30-Year Yield futures
Product code 2YY 5YY 10Y 30Y
Settlement Cash-settled to BrokerTec 2-Year benchmark  Cash-settled to BrokerTec 5-Year benchmark  Cash-settled to BrokerTec 10-Year benchmark  Cash-settled to BrokerTec 30-Year benchmark 
Price convention US Treasury Yield
Contract size $10.00 DV01
Tick size $1.00 (1/10 of 1 bp)
# of expiries 2 nearest monthly contracts
Termination Last Business Day of Month

Contract specifications are subject to regulatory review and may change

About the BrokerTec US Treasury benchmarks

Using data from BrokerTec, the leading central limit order book for cash US Treasury trading, BrokerTec US Treasury benchmarks provide robust Volume Weighted Average Yields (VWAYs) for on-the-run US Treasuries (2-Year, 3-Year, 5-Year, 7-Year, 10-Year, 20-Year, and 30-Year), calculated and published four times a day. CME Group Benchmark Administration Limited (CBA) is the benchmark administrator.

Latest yields

Find answers to frequently asked questions

How are Micro Treasury Yields different than existing Treasury futures?

While complementary to CME Group’s existing suite of Treasury futures, Micro Treasury Yield futures feature an entirely new contract design intended to serve new use cases and provide market participants with an expanded set of trading and risk management capabilities for the US government bond market. Micro Treasury Yield futures are cash-settled, traded in yield, and track a single on-the-run security, whereas existing Treasury futures are physically-delivered, traded in price, and track a basket of deliverable securities.

Why trade Micro Treasury Yield futures?

Micro Treasury Yield futures’ straightforward, yield-based design is both highly approachable and well suited to a variety of trading and risk management applications, including:

  • Gain exposure to on-the-run Treasury Yields
  • Hedge Treasury auctions with greater precision
  • Seamlessly execute DV01 neutral yield curve spreads
  • Trade the futures vs. cash basis via EFP (Exchange for physical)

Which Treasury Security is used to construct the underlying reference rate?

The BrokerTec U.S. Treasury Benchmark is published for the "on-the-run" security, defined as the most recently auctioned security. For example, a new 5-Year Note will be auctioned on Wed, August 25, and so the 5-Year Benchmark on the futures expiration day (end of the month) will reflect the yield of this security. When Yield futures begin trading on August 16, they will anticipate the upcoming auction, and therefore be available as a tool to manage the July-August cash roll.

Learn about Micro Treasury Yield Futures

Watch an educational video to understand how Micro Treasury Yield futures work, the benchmarks behind the contract, and more.

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