Micro-sized treasuries, major possibilities
Discover a streamlined, intuitive approach to trading interest rate markets with Micro Treasury Yield futures, contracts based on one of the world's largest and most influential markets.
Directly references the most widely followed US Treasury market metric – yields of recently auctioned (or, on the run) Treasury securities – the most followed issues within each tenor.
Trade the most followed points on the curve: 2-Year Notes, 5-Year Notes, 10-Year Notes, and 30-Year Bonds, anchored by BrokerTec US Treasury benchmarks.
All four contracts are sized at a constant basis point value of $10/basis point of yield (0.01%), allowing for streamlined spread trading. Take positions on the rate’s direction or the yield curve’s shape.
Small BPV enables a low-cost alternative to other interest rate offerings and gives individual and institutional traders more flexibility in managing their benchmark interest rate exposure.
|MICRO 2-YEAR YIELD FUTURES||MICRO 5-YEAR YIELD FUTURES||MICRO 10-YEAR YIELD FUTURES||MICRO 30-YEAR YIELD FUTURES|
|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|
BrokerTec is the leading central limit order book for cash US Treasury trading, offering customers 24-hour access to those markets. Micro Treasury Yield futures contracts will be based on the 2-, 5-, 10-, and 30-year yields traded on BrokerTec’s central limit order book.
Micro Treasury Yield futures will settle each day to their corresponding BrokerTec US Treasury benchmark at 3:00 p.m. Time. These benchmarks are published four times a day (11:00 a.m., 4:00 p.m., 5:00 p.m. and 3:00 p.m.) and are generated using volume weighted average yields (VWAYs) for the 15-minute window prior to the fixing times for on-the-run US Treasuries (2-Year, 3-Year, 5-Year, 7-Year, 10-Year, 20-Year, and 30-Year). CME Group Benchmark Administration Limited (CBA) is the benchmark administrator.
Note: the cash US Treasuries on which the futures are based trade around the clock, but the benchmark yield is published four times a day.
Current CME Direct users can import a trading grid populated with Micro Treasury Yield futures contracts below to quickly add them to your CME Direct screen:
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