CME Group Ultra T-Bond
The Ultra T-Bond is a Treasury complex contract that was introduced at CME Group on Jan. 11, 2009. The contract was touted by the exchange as a more direct way to manage long-term interest rate risk than already existing contracts.
The deliverable basket for Ultra T-Bond futures will comprise cash Treasury bonds with at least 25 years of remaining term to maturity. By comparison, deliverable securities for the existing T-Bond contract are bonds with remaining terms to maturity of 15 years or more.
Ultra T-Bond futures can be spread against "classic" T-bond futures to isolate the long end of the yield curve. T-Bond futures can also be combined with 30-Year Interest Rate Swap futures to create a synthetic 30-Year Swap spread. They can also be incorporated into liability driven investment strategies.
In all other respects, the specifications for the Ultra T-Bond futures resemble those for the existing CME Group Treasury Bond contract. They are identical in terms of their notional value, minimum tick size, contract critical dates, and notional coupon.
The Ultra long bond contract began trading on Jan. 11, 2010 with a deliverable basket of 25+ years. A Barclays Capital market strategist said initial signs of trade for the contract were encouraging, with volumes picking up within two days, and an open interest of more than 8,000 contracts as of the third day of trade.
On March 17, 2010, the CME Group announced that it would begin offering options on the Ultra T-Bond futures beginning June 7, 2010.
In late May of 2010, CME announced plans to revise part of its U.S. Treasury futures complex by capping the maturity of securities tied to longer-dated contracts at 25 years. The move is aimed providing a better hedge to market users and preventing overlap with the CME's Ultra T-Bond futures contract.
|Ultra T-Bond futures|
|Point Value||Minimum Price Increment One thirty-second of one point ($31.25 per contract), except for intermonth spreads for which the minimum price increment would be one quarter of one thirty-second of one point ($7.8125 per contract)|
|Tick Value||Need tick value!|
|Contract Months||Three consecutive expiries in the March, June, September, and December quarterly cycle.|
|Last Trading Day||Last Trading Day The seventh business day before the last business day of the delivery month. Trading in an expiring contract ceases at 12:01 p.m. on the last trading day.|
|Trading Hours||7:20 a.m. – 2:00 p.m. Central Time (CT), Monday – Friday||5:30 p.m. – 4:00 p.m., CT, Sunday – Friday|
- ↑ CME Launches Ultra T-Bond. Medill Reports.
- ↑ CME Group To Launch Long-Term U.S. Tsy Bond Futures - The "Ultra" T-Bond Jan. 10, 2010. JLN Interest Rates Blog.
- ↑ Ultra T-Bond - Contract Design. CME Group.
- ↑ Barclays Considers, Is Ultra Long Ultra Good?. JLN Interest Rates Blog.
- ↑ Long-Term U.S. Treasury Bond Futures. CME Group.
- ↑ CME Group Caps Duration On Deliverable Long-Term Treasurys. WSJ.com.