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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.

Understanding Treasury Futures NOVEMBER 2017 Nicholas Johnson Economist Research & Product Development John Kerpel Manager Research & Product Development

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