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TheStreet Open House

CME Group Announces Solution To Delivery Gap In US Treasury Bond Futures





CHICAGO, Dec. 13, 2013 /PRNewswire/ --  CME Group, the world's leading and most diverse derivatives marketplace, today announced a solution to address a gap in the delivery basket of the U.S. Treasury Bond futures. The gap results from the U.S. Treasury's suspension of 30-year Treasury bond issuance between early 2001 and early 2006. CME Group will exclude the 5-3/8% February 2031 U.S. Treasury bond (cusip 912810FP8) from contract grade eligibility for the June 2015, September 2015, and December 2015 delivery months only.  These contracts are listed by and subject to the rules of CBOT.  CBOT rule 18101.A authorizes the exchange to disallow any issue from the contract grade. 

Excluding this specific bond from delivery eligibility in these three deferred delivery months will prevent a situation of having a single bond isolated as the five year gap nears the front of the delivery basket, while ensuring the changes have only a negligible impact on the overall size of the delivery basket.

The first delivery month affected, June 2015 delivery month, will be listed for trading on September 22, 2014, giving the marketplace ample time to make the necessary adjustments to trading systems.  Conversion factors published by the exchange have been revised to reflect this change.  This solution was reached after extensive consultation with Bond futures market participants.    

For more information, please visit: cmegroup.com/bondbasket

As the world's leading and most diverse derivatives marketplace, CME Group ( www.cmegroup.com) is where the world comes to manage risk.  CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate.  CME Group brings buyers and sellers together through its CME Globex ® electronic trading platform and its trading facilities in New York and Chicago.  CME Group also operates CME Clearing, one of the world's leading central counterparty clearing providers, which offers clearing and settlement services across asset classes for exchange-traded contracts and over-the-counter derivatives transactions. These products and services ensure that businesses everywhere can substantially mitigate counterparty credit risk.

CME Group is a trademark of CME Group Inc. The Globe Logo, CME, Globex and Chicago Mercantile Exchange are trademarks of Chicago Mercantile Exchange Inc.  CBOT and the Chicago Board of Trade are trademarks of the Board of Trade of the City of Chicago, Inc.  NYMEX, New York Mercantile Exchange and ClearPort are registered trademarks of New York Mercantile Exchange, Inc.  COMEX is a trademark of Commodity Exchange, Inc.  KCBOT, KCBT and Kansas City Board of Trade are trademarks of The Board of Trade of Kansas City, Missouri, Inc.  All other trademarks are the property of their respective owners. Further information about CME Group (NASDAQ: CME) and its products can be found at www.cmegroup.com.

Futures and options trading is not suitable for all investors, and involves the risk of loss.  Futures are a leveraged investment, and because only a percentage of a contract's value is required to trade, it is possible to lose more than the amount of money deposited for a futures position.  Therefore, traders should only use funds that they can afford to lose without affecting their lifestyles.   And only a portion of those funds should be devoted to any one trade because they cannot expect to profit on every trade.  All references to options refer to options on futures.

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