What is a US Treasury benchmark rate?
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 US Treasury Bond.
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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. The pricing convention of these contracts is expressed in yield terms. Micro Treasury Yield futures trade in a direct relationship to changes in yield, unlike the traditional US Treasury Futures contracts, which trade in price terms and as an inverse relationship to yield.
Each contract has the same basis point value of $10.00. The minimum price increment for all these contracts is 1/10 of one basis point which equals $1.00.
Micro Treasury Yield futures will settle daily to BrokerTec’s 3 p.m. Eastern Time (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.
Some of the benefits of the Micro Treasury Yield futures contracts are:
• A 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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