Treasury Bond Roll Jumps the Gap in Delivery Basket
3:2 Ratio T-Bond Calendar Spread Now Live
In response to client demand, CME Group is now offering a 3:2 ratio T-Bond Calendar Spread enabling market participants to roll from the March '15 to the June '15 T-Bond contract in a nearly risk neutral manner. The Performance Bond Intra Spread Ratios for the March '15 and June '15 T-Bond contracts are also 3:2 to reflect the underlying economics of the contracts.
- All other execution methods will continue to be available, including the existing 1:1 spread.
- FAQ that contains the full details of the 3:2 ratio spread, including the ISV symbols.
- Performance Bond requirements for the outrights and spreads.
- Mind the Gap white paper on the gap in the US Treasury yield curve, and its impacts on the delivery basket and the upcoming calendar roll.
- Track roll activity with the Pace of the Roll Tool
- Special Executive Report on the Temporary Amendments to CBOT Rule 588.H (Globex Non-Reviewable Ranges) and Settlement Procedures for CBOT U.S. Treasury Bond Futures.
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