Head of Fixed Income Strategy
Micro Treasury Yield Futures Contracts offered by the CME Group are financial derivatives designed to track the yields of recently auctioned Treasury securities across various tenor points on the yield curve. These contracts enable market participants to speculate on or hedge against movements in interest rates.
Trading in Micro Treasury Yield Futures Contracts typically occurs on regulated exchanges, such as the CME Group, where buyers and sellers come together to exchange these futures contracts. They are traded electronically, providing ease of access and liquidity to market participants.
Like all derivative instruments, there are risks associated with trading Micro Treasury Yield Futures Contracts, including market risk, liquidity risk, and execution risk, which traders need to consider before engaging in trading activities.
In the Saxo platform it is possible to find Micro Treasury bond futures for the 2-, 10- and 30-year yields in the Screener, filtering for “Contract Futures” searching for the keyword “yield”.
Open Interest can be added to one of the columns to see which contract is the most liquid. In the example below, the Micro 10-Year Yield contract with expiry April 2024 is the most liquid.
Let's dive into the specifics of the Micro 10-year yield contract expiring in April.
The trading ticker indicates a contract size of 1000 and a tick size of 0.001.
To open a position, the initial margin requirement is 10%, with a maintenance margin of 9%.
For instance, purchasing one contract at 4.649% translates to a nominal value of 4,649 USD. To open this position, a minimum of 720 USD is required. Subsequently, the maintenance margin stands at 640 USD.
A yield increase from 4.649% to 4.65% yields a one-dollar gain, while a decrease to 4.648% results in a one-dollar loss.
If the 10-year yield rises from 4.649% to 5%, a profit of 351 USD is realized.
The Saxo platform offers continuous tickers that can elevate the trading experience for Micro Treasury Yield Futures contracts. Tickers like 2YYc1, 10Yc1, and 30Yc1 correspond to the 2-year, 10-year, and 30-year US Treasury yields, respectively, serving as valuable tools for charting purposes.
Our technical analysis specialist, Kim Cramer Larsson, frequently utilizes and discusses these tickers in their analysis. To access his analysis, click here.
17-04 All you need to know about the upcoming 20-year US Treasury auction.
16-04 QT Tapering Looms Despite Macroeconomic Conditions: Fear of Liquidity Squeeze Drives Policy
08-Apr ECB preview: data-driven until June, Fed-dependent thereafter.
03-Apr Fixed income: Keep calm, seize the moment.
21-Mar FOMC bond takeaway: beware of ultra-long duration.
18-Mar Bank of England Preview: slight dovish shift in the MPC amid disinflationary trends.
18-Mar FOMC Preview: dot plot and quantitative tightening in focus.
12-Mar US Treasury auctions on the back of the US CPI might offer critical insights to investors.
07-Mar The Debt Management Office's Gilts Sales Matter More Than The Spring Budget.
05-Mar "Quantitative Tightening" or "Operation Twist" is coming up. What are the implications for bonds?
01-Mar The bond weekly wrap: slower than expected disinflation creates a floor for bond yields.
29-Feb ECB preview: European sovereign bond yields are likely to remain rangebound until the first rate cut.
27-Feb Defense bonds: risks and opportunities amid an uncertain geopolitical and macroeconomic environment.
23-Feb Two-year US Treasury notes offer an appealing entry point.
21-Feb Four reasons why the ECB keeps calm and cuts later.
14 Feb Higher CPI shows that rates volatility will remain elevated.
12 Feb Ultra-long sovereign issuance draws buy-the-dip demand but stakes are high.
06 Feb Technical Update - US 10-year Treasury yields resuming uptrend? US Treasury and Euro Bund futures testing key supports
05 Feb The upcoming 30-year US Treasury auction might rattle markets
30 Jan BOE preview: BoE hold unlikely to last as inflation plummets
29 Jan FOMC preview: the Fed might be on hold, but easing is inevitable.
26 Jan The ECB holds rates: is the bond rally sustainable?
18 Jan The most infamous bond trade: the Austria century bond.
16 Jan European sovereigns: inflation, stagnation and the bumpy road to rate cuts in 2024.
10 Jan US Treasuries: where do we go from here?
09 Jan Quarterly Outlook: bonds on everybody’s lips.
2024: The wasted year
Markets are driven by election optimism, overshadowing growing debt and liquidity concerns. The 2024 elections loom large, but economic fundamentals and debt issues warrant cautious investment.
As US economic slowdown hints at a shift away from exceptionalism, USD faces downside with looming Fed cuts. AUD and NZD set to outperform as their rate cuts lag. JPY gains on carry unwind bets and BOJ pivot.
Amid AI and obesity drug excitement, equities see varied prospects: neutral on overvalued US stocks, negative on Japan due to JPY risks, positive on Europe. European defence stocks gain appeal.
With the economic slowdown, quality assets will gain favour, especially sovereign bonds up to 5 years. Central banks' potential rate cuts in Q2 suggest extending duration, despite policy and inflation concerns.
Commodities poised for rebound. The "Year of the Metal" boosts gold and silver, copper awaits rate cuts. Grains may recover, natural gas stabilises. Gold targets $2,300-$2,500/oz, copper's breakout could signal growth.
Markets are driven by election optimism, overshadowing growing debt and liquidity concerns. The 2024 elections loom large, but economic fundamentals and debt issues warrant cautious investment.
As US economic slowdown hints at a shift away from exceptionalism, USD faces downside with looming Fed cuts. AUD and NZD set to outperform as their rate cuts lag. JPY gains on carry unwind bets and BOJ pivot.
Amid AI and obesity drug excitement, equities see varied prospects: neutral on overvalued US stocks, negative on Japan due to JPY risks, positive on Europe. European defence stocks gain appeal.
With the economic slowdown, quality assets will gain favour, especially sovereign bonds up to 5 years. Central banks' potential rate cuts in Q2 suggest extending duration, despite policy and inflation concerns.
Commodities poised for rebound. The "Year of the Metal" boosts gold and silver, copper awaits rate cuts. Grains may recover, natural gas stabilises. Gold targets $2,300-$2,500/oz, copper's breakout could signal growth.
