08.26.2021

CME Micro Treasury Yield Futures Surpass 30,000 Contracts

CME Group, the world’s leading and most diverse derivatives marketplace, announced that Micro Treasury Yield futures traded 32,247 contracts during the first week and open interest reached 3,296 contracts.

“We’re pleased with the early support we’ve seen from clients and market participants for our new Micro Treasury Yield futures contracts during their first week of trading,” said Agha Mirza, CME Group Global Head of Rates and OTC Products. “Micro Yield futures complement our robust suite of U.S. Treasury futures and options, and are our first contracts to reference the yield of on-the-run Treasury securities. This means that market participants of all sizes who want to gain exposure to, or more precisely hedge against, U.S. Treasury auction issuance, now have a tool with growing liquidity to help them achieve those objectives.”

Since their August 16 launch, more than 30 participants have traded across Micro 2-Year, Micro 5-Year, Micro 10-Year and Micro 30-Year Yield futures, including 27,819 Micro 10-Year Yield futures contracted traded.

The introduction of Micro Treasury Yield futures comes at a time when U.S. Treasury risk management remains very important for market participants, with U.S. Treasury market issuance reaching $11.5 trillion in 2021 year to date through July. At the same time, average daily volume in CME Group’s U.S. Treasury futures and options increased 82% and 88% respectively during July.

Micro 2-Year, Micro 5-Year, Micro 10-Year and Micro 30-Year Yield futures are sized at $10 per basis point of yield, and are cash settled to the newly created BrokerTec cash U.S. Treasury benchmarks. The contracts are listed on and subject to the rules of the CBOT. For more information on Micro Yield futures, please visit www.cmegroup.com/yieldfutures.

Source: CME

Related articles

  1. 2021 marked the fourth consecutive year of record-setting trading activity.

  2. Outlook 2016: Alexander Lehmann, LSEG

    LCH SwapAgent registered over 10,000 trades in 2021, a five fold increase.

  3. There is growing interest in actionable insights into market data.

  4. The next focal point of the crypto market will be over-the-counter derivatives.

  5. Overall trading volumes across all products fell 8% from 2020.