Sun, Feb 7, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

CME Group to offer customers exposure to benchmark U.S. Treasury securities

Monday, August 30, 2010

Robin Ross
Opalesque Industry Update - CME Group, the world's leading and most diverse derivatives marketplace, announced the launch of On-the-Run U.S. Treasury futures beginning Monday, October 25, 2010. These new futures contracts will provide market participants with efficient and cost-effective price exposure to 2-Year, 5-Year, and 10-Year U.S. Treasury on-the-run yields. The new contracts will be listed with, and subject to, the rules and regulations of the CBOT.

"This new suite of cash-settled On-the-Run futures will complement our existing suite of physically-delivered U.S. Treasury futures and create new trading opportunities for our clients," said Robin Ross, CME Group's Managing Director of Interest Rate Products. "The On-the-Run U.S. Treasury futures contracts will offer clients an easy way to trade synthetic Treasury yield curve and swap spread strategies, with the added benefit of cross-margining against CME Group benchmark interest rate products."

"At a time when U.S. Treasury bond traders are facing increasing margin requirements and balance sheet regulation, it just seems logical to offer synthetic 'on-the-run' futures," said John Brosnan, XR Trading LLC's Head of Fixed Income Trading. "In addition to cross-margining, there are other subtleties that make these products attractive, such as the opportunity for broader market participation during the 'When Issued' period leading up to the auction. These products should also help firms optimize their hedging precision and more effectively manage tail-risk. I think regardless of usage, these products will create opportunity for a variety of end-users."

On-the-Run (OTR) U.S. Treasury futures are cash-settled based on the yields of the most recently auctioned Treasury securities, which are typically the most actively traded and serve as the primary benchmarks used in pricing many fixed income instruments.

OTR Treasury futures will create an interesting array of new trading opportunities for market participants as well as provide a new tool for customers without easy access to the U.S. Treasury securities and repo markets. Applications for the new contract include on-the-run yield curve strategies, as well as inter-commodity spreads with CME Group's existing U.S. Treasury, Eurodollar and Swap futures contracts. This will provide customers a wide range of potential margin offsets and afford the greatest possible capital efficiency for market participants.

(Press release)


To view a video of Peter Barker, Director of Interest Rate Products, and Jonathan Kronstein, Associate Director of Interest Rate Products, talking about the new OTR futures, visit: Source.


As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest 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 brings buyers and sellers together through its CME Globex electronic trading platform and its trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort. These products and services ensure that businesses everywhere can substantially mitigate counterparty credit risk in both listed an d over-the-counter derivatives markets. www.cmegroup.com.


Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. How Einhorn survived a nightmare year[more]

    From Bloomberg.com: Even when a hedge fund has an awful year, which was the case for David Einhorn's Greenlight Capital, there are lessons to be learned. Many funds would have had a tough time surviving a year like Einhorn experienced in 2015, when all the stars seemed to align against him and Green

  2. Legal - Hedge fund founder wins early release in U.S. insider trading case, Gramercy seeking $1.3 billion from Peru over land-bond dispute[more]

    Hedge fund founder wins early release in U.S. insider trading case From Reuters/Streetinsider.com: Former hedge fund manager Doug Whitman on Tuesday won a reprieve from serving the remainder of his two-year sentence for insider trading after several judges expressed skepticism that his 2

  3. Investing - David Einhorn finds a winner in Michael Kors[more]

    From Thestreetinsider.com: Greenlight Capital hedge fund manger David Einhorn took his lumps in 2015. The fund lost over 20 percent on the year amid bets gone bad being long a plunging SunEdison and short a couple high-flying FANG stocks. However, today Einhorn is again showing his stock picking pro

  4. Investing - Avenue Capital's Marc Lasry: We like European bank loans, Comment: A bunch of hedge fund managers are chasing the 'dream of crushing a major structural problem'[more]

    Avenue Capital's Marc Lasry: We like European bank loans From CNBC.com: European banks are under immense pressure, but at least one prominent hedge fund has found what it thinks is a good opportunity in the wreckage. Marc Lasry, co-founder and chief executive of hedge fund Avenue Capital

  5. Computer-driven hedge funds make money during January’s selloff[more]

    Komfie Manalo, Opalesque Asia: Commodity trading advisers (CTAs) that use computer programs to guide how they trade, made millions of dollars during last month’s market selloff on the back of declining oil prices and global equities and big moves in currencies. Data provider