From CME Group:

CME Group introduces new Yield futures to provide better trading and risk management tools for the U.S. government bond market. Yield futures are cash settled, traded based on yield, and specifically follow the single on-the-run (OTR) security. The contract value is $1000 per index point with a minimum tick of 0.001 or 1/10th of a basis point.

Despite their differences from existing U.S. Treasury futures, it is expected that Yield futures will remain closely correlated. This reflects the market outlook of future differences between the cheapest-to-delivery (CTD) and the OTR CUSIPs. To visualize movements in Yield futures prices over time and compare them with U.S. Treasury Benchmark cash yields, visit the Treasury Analytics CurveWatch tool from CME Group.

Liquidity for Yield futures will be concentrated in a single contract, with a second available for the roll at month end. Cash settlement to the benchmark on the final business day of the month will remove any operational risks of physical delivery. This will align with the U.S. Treasury’s auctions held at each tenor once per month.

Yield futures allow market participants direct exposure to U.S. Treasuries at key points on the curve, with yield-based pricing, cash settlement, fixed DV01, and duration. This will offer valuable opportunities for trading and risk management in the U.S. government bond market.



Read more: Understanding Yield Futures – CME Group