CME Group, a US based derivatives marketplace, will launch On-the-Run (OTR) US Treasury futures beginning 25 October 2010.

The OTR US 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.

CME Group said that the new futures contracts will provide market participants with cost-effective price exposure to two-year, five-year, and 10-year US Treasury OTR yields.

CME Group Interest Rate Products managing director Robin Ross said that this new suite of cash-settled OTR futures will complement the company’s existing suite of physically-delivered US Treasury futures and create new trading opportunities for clients.

“The On-the-Run US 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,” Ross said.