CME Group’s Ultra 10-year Treasury Note has support among long-only investors as well as arbitrageurs
Despite initial scepticism in January, the
CME Group’s Ultra 10-year Treasury Note is
building up volume and has support amongst long-only investors
as well as arbitrageurs, writes Dan Barnes.
Traditional buy-side traders see great
potential in the CME’s latest treasury future, the
Ultra 10-year Treasury Note Future, and the market operator is
reporting growth that could see liquidity reach the critical
mass needed by investment managers.
Agha Mirza, global head of interest rate
products at CME Group, said: "By all measures, the Ultra 10 has
become the most successful launch in CME Group’s
history, by a wide margin."
Launched on January 11, the Ultra-10 is
the first treasury futures contract delivered since 2010. The
contract is fulfilled with the physical delivery of 10-year
Treasury notes of a maturity between nine years five months and
10 years. By contrast the longstanding 10-year Treasury Note
Future (TY) is fulfilled by cash notes with a remaining
maturity of between six years, six months, and 10 years. With
both contracts the three most recent original issue 10-year
Treasury notes are eligible for delivery for both futures, but
the tighter criteria for delivery of the Ultra is designed to
help the market participants obtain more precise exposure to
the 10- year part of the US Treasury yield curve, making it a
better proxy for the cash instrument.
This article is available to subscribers and registered users
Please log in to continue reading.
Not yet registered? Take a free trial.
If you have already taken a free trial you
have ongoing access to the analysis section of FOW.com including this story.
Log in using your details below to read.
Already have an account? |