Understanding Micro Treasury Yield Futures

Micro Treasury Yield Futures from the CME Group provide market participants an efficient and cost-effective method to trade the U.S. Treasury benchmark rates. These innovative contracts are based directly on yields of the most recently auctioned Treasury securities including the 2-Year Note, 5-Year Note, 10-Year Note & 30-Year Bond.

Watch this 3-minute video to learn more about trading Micro Treasury Yield Futures.

What is a U.S. Treasury Benchmark Rate?

The U.S. Treasury benchmark rate are the current yields on the most recently auctioned treasury securities at certain locations along the treasury yield curve. Micro Treasury Yield futures will reference the benchmark yield for the 2-Year Note, 5-Year Notes, 10-Year Note, and 30-year U.S. Treasury Bond.

Treasury Yield Basis Points

A basis point represents 0.01% of yield. Therefore, 100 basis points equals 1%. A basis point value, also referred to DV01, represents the financial change of an instrument to a one basis point change in yield. Each Micro Treasury Yield futures contract unit size is equal to a $10 value of a basis point.

Micro Treasury Yield futures trade in a direct relationship to changes in yield, unlike the traditional U.S. Treasury Futures contracts, which trade in price terms and as an inverse relationship to yield.

A trader buying the futures contract could benefit from rising yields. Whereas, a short position could benefit from falling yields.

Treasury Yield Settlement

Micro Treasury Yield futures will settle daily to BrokerTec’s 3 p.m. ET fixings of Treasury benchmark yields. Contracts cease trading at 3 p.m. ET on the last business day of the contract month.

These contracts are financially settled. Final settlement value is determined by BrokerTec’s 3 p.m. ET fixing on the last business day of the month.

Benefits of Trading Micro Treasury Yield Futures

• Smaller size
• Track OTR benchmark Treasury Yields
• Trade in yield rather than in price terms
• Financially settled, eliminating any delivery risk

Micro Treasury Yield futures are available to trade on CME Globex from Sunday through Friday, nearly 24 hours a day. Micro Treasury Yield futures provide access to a contract that is pegged to OTR yields, but with less capital requirements than traditional US Treasury futures contracts.

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