Understanding_US_Treasury_Futures.pdf

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1、UnderstandingU.S.TreasuryFuturesJohnW.Labuszewski,ManagingDirectorResearch&ProductDevelopmentTel:312-446-2666,E-mail:jlab@cmegroup.comFrederickSturm,DirectorResearch&ProductDevelopmentTel:312-347-5235,E-mail:Frederick.Sturm@cmegroup.comThisdocumentisintendedtoprov

2、ideanoverviewofthefundamentals1oftradingU.S.Treasurybondandnotefutures.WeassumeonlyaTreasuryfuturescursoryknowledgeofcoupon-bearingTreasurysecurities,providingarepresentaflagshipgroundingincashTreasurymarkets;somedetailregardingthefeaturesproductgroupfortheoftheU.

3、S.Treasuryfuturescontracts;and,adiscussionofriskCMEGroup.U.S.TreasuryfuturesweremanagementapplicationswithU.S.Treasuryfutures.originallyintroducedontheChicagoBoardofCoupon-BearingTreasurySecuritiesTrade(CBOT).CBOTwasmergedwithChicagoU.S.Treasurybondsandnotesrepres

4、entaloantotheU.S.government.MercantileExchangein2007andisnowoperatedBondholdersarecreditorsratherthanequity-orshareholders.TheU.S.asaunitofCMEGroup.governmentagreestorepaythefaceorprincipalorparamountofthe2securityatmaturity,pluscouponinterestatsemi-annualinterval

5、s.Treasurysecuritiesareoftenconsidered“riskless”investmentsgiventhatthe“fullfaithandcredit”oftheU.S.governmentbacksthesesecurities.1ThesecontractswereoriginallyintroducedontheChicagoBoardofTrade(CBOT).CBOTwasmergedwithChicagoMercantileExchange(CME)inJuly2007andisn

6、owoperatedasaunitoftheCMEGroup(CMEG).2InflationIndexedTreasurySecuritieswereintroducedin1997.Thesesecuritiesareofferedwithmaturitiesof30years;10years;and,fiveyears.Theyaresoldwithastatedcouponbutpromisethereturnoftheoriginalprincipaladjustedtoreflectinflationasmea

7、suredbytheConsumerPriceIndexovertheperioduntilmaturity.Thus,theircouponsaretypicallyestablishedatlevelsthatreflectthepremiumoflong-orintermediate-terminterestratesrelativetoinflation.Clearly,thesehavesomeinvestmentappealtothoseconcernedaboutthelong-termprospectsfo

8、rinflation.UnderstandingU.S.TreasuryFuturesPage2of43Thesecuritybuyercaneitherholdthebondornoteuntilmaturity,atwhichtimethefacevaluebecomesdue;or,thebond