Transcription of Understanding Treasury Futures - CME Group
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Understanding Treasury Futures - CME Group
Understanding Treasury FuturesNOVEMBER 2017 Nicholas JohnsonEconomist Research & Product DevelopmentJohn KerpelManager Research & Product DevelopmentJonathan Kronstein Senior Director Research & Product DevelopmentINTEREST RATEST able of ContentsTreasury Cash Market Basics Coupon-Bearing Treasury Securities .. 1 Price/Yield Relationship .. 1 Quotation Practices .. 2 Accrued Interest and Settlement Practices .. 2 Treasury Auction Cycle .. 3 The Run .. 3 The Roll and Liquidity .. 4 Repo Financing .. 4 Treasury Cash & Futures RelationshipsTreasury Futures Delivery Practices.
maturing in August 2027 . This security pays half its stated coupon or 1-1/8% of par on each six-month anniversary of its issue . Thus, you receive $22,500 (= 2-1/4% of $1 million) annually, paid out in semi-annual installments of $11,250 in February and August . Upon maturity in August 2027, the $1 million face value is re-paid and the note ...
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