Yield Futures

Owned by CME Group
Apr 26, 2024
2 min read

Yield Futures Daily Settlement Procedure

Normal Daily Settlement Procedure

Daily settlement of 2-Year (2YY), 5-Year (5YY), 10-Year (10Y) and 30-Year (30Y) Yield Futures are determined by CME Group staff based on trading activity on CME Globex.

Lead Month

The designated lead month* is settled according to the following procedure:

  • If the lead month contract trades on CME Globex between 13:59:30 and 14:00:00 Central Time (CT), the settlement period, then the lead month settles to the volume-weighted average price (VWAP) of the trade(s) during this period.

  • If no trades in the lead month occur on CME Globex between 13:59:30 and 14:00:00 CT, then the most recent trade (or prior settle in the absence of a last trade price) is used. The lead month settles to the last trade/prior settle provided that it does not violate the bid or the ask in the settlement period. If the last trade is outside the bid or the ask then the settlement will be adjusted to that bid or ask.   

Second Month

  • If the lead month-second month spread trades on CME Globex between 13:59:30 and 14:00:00 CT, then the spread VWAP is calculated and rounded nearest tradable tick. The spread differential is then applied to the lead month settlement price to derive the second month settlement.   

  • If a VWAP is not available due to an absence of trades, then the most recent spread trade or prior settlement is applied to the lead month settlement price to derive the second month settlement.

In either of the above scenarios, if the derived spread differential in the lead month-second month spread is outside the bid/ask then the spread settle will be adjusted to that bid or ask. 

*The Lead-Month is the first chronological listing until the day prior to its expiration.  The second chronological listing will become the Lead Month effective on the day the first chronological listing expires

Final Settlement Procedures

The final settlement procedures can be found below.

2-Year Yield future (2YY)

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CBOT/III/80.pdf

5-Year Yield future (5YY)

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CBOT/III/81.pdf

10-Year Yield future (10Y)

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CBOT/III/82.pdf

30-Year Yield future (30Y)

https://www.cmegroup.com/content/dam/cmegroup/rulebook/CBOT/III/83.pdf





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