Ultra bond

Discussion in 'Trading' started by weezy, Feb 11, 2013.

  1. weezy


    The U.S. 50 year bond is trading 156160 March future. any one know what the yield is on the 50 year. Also called the ultra bond.
  2. The CTD to that contract is the 4.5 5/15/2038, yielding 2.98%.

    BTW, it is not a 50Y contract. It tracks something > 25Y. The reason it was created was because the 30Y contract tracks something closer to a 15Y bond.
  3. weezy


    The 30 bond is yielding 3.16%. so I doubt the 50 year is less than that. Certainly not less than 3%.
  4. Where do you see a 50Y (or anything that was issued as a 50Y) U.S. Treasury Bond trading? I'm pretty sure the Treasury doesn't issue 50Y bonds.
  5. It may not suit your purpose but I think the UK still has some perpetual Gilts outstanding.
  6. Ultra T-Bond refers to this



    It does have a much longer effective duration than the current 30-year ZB contract (by virtue of only including longer maturity dates for deliverables).

    So, if you refer to ZB as a 30 year bond future, maybe you might refer to the ultra bond future as a 50 year future informally, by applying the ratio, even though the terminology is not really accurate.
  7. weezy


    the "BOB" spread is an exchange listed spread offered by the
    CME. It's the 30 year v the 50 year.

    curious as to the 50 year yield-
  8. addchild


    This spread refers to the ZB and UB, two 30 year bonds at different locations in their maturity.

    Delivery against a ZB contract is made with a treasury bond with greater than 15 years till maturity

    Delivery against a UB contract is made with a treasury bond with greater than 25 years to maturity
  9. I guess you didn't quite get the gist of my last post.

    The spread you are talking about is the spread between the 30Y futures and the Ultra futures contracts. Both contracts track bonds that are less than 30 years in duration. The U.S. does not issue 50Y bonds, so the Ultra has nothing whatsoever to do with a 50Y bond. In cash terms, the BOB represents a spread between a 15Y bond (the current CTD to the Bond futures) and a 25Y bond (the current CTD to the Ultra futures). Hope I made this clear.

    If you want to learn about the relationship between fixed income futures and cash bonds read Burghardt's Treasury Bond Basis book.
    #10     Feb 12, 2013