CME asks clients about changing implied UST futures coupon

Falling yields prompt review of 6% conversion factor for delivery-eligible bonds


CME Group has contacted clients about changing the way it values US Treasury bonds that can be delivered to satisfy expiring futures contracts. The current methodology has been cited by some as contributing to the market disruption in March – a charge strongly disputed by the Chicago-based exchange.

CME’s rule book permits the delivery of a wide range of securities to satisfy a maturing contract. For instance, T-Bond Futures can deliver into any US Treasury with a maturity of between 15 and 25

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