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CME to launch US Treasury note futures, options.

M2 EQUITYBITES-October 23, 2015-CME to launch US Treasury note futures, options


CME Group said it plans to launch ultra 10-year US Treasury note futures and options in the first quarter of 2016 that allow for delivery of original-issue 10-year US Treasury notes with remaining terms to maturity at delivery of at least nine years, five months and not more than 10 years.

By comparison, the existing 10-year US Treasury Note futures (6.5 to 10-Year), allows for delivery of seven-Year and 10-year US Treasury notes with remaining terms to maturity at delivery of at least six years six months and not more than 10 years. The existing contract will remain unchanged.

CME Group global head of interest rate products Agha Mirza said, "CME Group worked diligently with the trading community and conducted an extensive market validation process of three potential contract designs since July 2015. The chosen design, based on customer feedback, more precisely reflects exposure of 10-year US Treasury notes, the benchmark for US Treasury securities, and best serves the risk management needs of the marketplace."

Due to the US Treasury Department's suspension of 30-year bond issuance between 2001 and 2006, the gap in the exposures of the existing 10-Year US Treasury note and the US Treasury bond futures has expanded from approximately eight years to about 14 years, creating customer demand for a new product that establishes 10-year yield exposure.

The Ultra 10-Year US Treasury Note futures and options contracts will receive automatic margin offsets against existing interest rate futures upon launch, and will become eligible for portfolio margining of CME cleared interest rate swaps and futures shortly after launch.

CME Group exchanges offer a wide range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group is a trademark of CME Group Inc.

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Publication:M2 EquityBites (EQB)
Date:Oct 23, 2015
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