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