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 .. 5 Conversion Factor Invoicing System .. 5 Cheapest-to-Deliver .. 6 The Basis .. 6 Why Is One Issue CTD? .. 8 Conversion Factor Effects .. 8 Implied Repo Rate.
markets is equivalent to 97-185 in the futures market . That trailing “5” represents 0 .5 x 1/32nd or 1/64th . A quote of 97-186 in the cash markets is equivalent to 97-187 in the futures market . The trailing “7” represents the truncated value of 0 .75 x 1/32nd = 3/128ths . The normal commercial “round-lot” in the cash markets is
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