U.S. T-Bond Futures Delivery Basket

Solution to Address Delivery Basket Gap in U.S. Treasury Bond Futures Announced

After an extensive market assessment, CME Group is ready to announce which approach will be taken to address a five-year term-to-maturity gap in the delivery basket of U.S. Treasury Bond futures. (The gap was a result of the U.S. Treasury's suspension of 30-year Treasury bond issuance between early 2001 - early 2006).

The decision is as follows:

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.

Rationale

Excluding this specific bond from delivery eligibility in the 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.

At the same time, this will ensure that the changes have only a negligible impact on the overall size of the delivery basket.

This solution was reached after extensive consultation with Bond futures market participants.

Which contracts will be affected first?

The first delivery month affected – the 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.

The conversion factors published by the exchange have been revised to reflect this change.

View Conversion Factors

View Mar15-Jun15 Roll Analysis

View Details in SER-7191