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.
Directly references the most widely followed US Treasury market metric – yields of recently auctioned Treasury securities.
Offers trading choice with contracts on four key tenors: 2-Year Note, 5-Year Note, 10-Year Note, and 30-Year Bond.
All four contracts are sized at $10 dollar per basis point of yield (0.01%), creating seamless curve spreading opportunities.
Anchored by BrokerTec US Treasury benchmarks, sourced from transactions on the leading cash UST trading platform.
|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|
Contract specifications are subject to regulatory review and may change
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.
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.
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:
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.