Understanding Micro Cash Yield Futures

Micro-Treasury Yield Futures CME Group provide market participants with an efficient and cost-effective method of trading benchmark U.S. Treasury rates. These innovative contracts are based directly on the yields of the most recently auctioned Treasury securities, including the 2 5 Note, the 10 year order and the 30 bonus

Watch these 3 minutes to learn more about trading micro cash yield futures.

What is a US Treasury benchmark rate?

The benchmark US Treasury rate corresponds to the current yields of the most recently auctioned Treasury securities at certain locations along the Treasury yield curve. Micro Treasury Futures Yield refers to the benchmark yield of 2-year, 5-year, 10-year and 30-year US Treasury bonds.

Treasury Yield Basis Points

A basis point represents 0 . 01% return. Therefore, 100 basis points equals 1%. A basis point value, also called DV 01 , represents the financial change of an instrument in a one basis point change in yield. The size of each Micro Treasury Yield futures contract unit is equal to 10 basis points.

MicroTreasury yield futures trade in direct relation to changes in yield, unlike traditional US Treasury futures, which trade in terms of price and in inverse relation to yield.

A trader who buys the futures contract could benefit from the increased yields. While a short position could benefit from lower yields.

Treasury Yield Regulations

MicroTreasury yield futures will settle daily based on BrokerTec’s 3 p.m. ET fixes of Treasury benchmark yields. Contracts stop trading at 3 am. ET on the last business day of the contract month.

These contracts are settled financially. Final liquidation value is determined by BrokerTec’s 3:00 p.m. ET fix on the last business day of the month.

Benefits of Trading Micro Cash Yield Futures

  • smaller size
  • OTR Benchmark Treasury Yield Tracker
  • Negotiate on performance rather than price
  • Financially settled, eliminating any delivery risk

Micro Treasure Yield Futures are available for trading on CME Globex Sunday through Friday, nearly 24 hours a day. Micro Treasure Yield Futures provides access to a contract linked to OTR returns, but with Lower capital requirements than traditional US Treasury futures.

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