U.S. Treasury Futures Delivery Process

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1、cmegroup.com/interestratesInTereSTraTeSTheU.S.TreasuryFuturesDeliveryProcessHowtheworldadvances1TheU.S.TreasuryFuturesDeliveryProcessAstheworld’sleadingandmostdiversederivativesmarketplace,CMEGroupiswheretheworldcomestomanagerisk.CMEGroupexchangesofferthewidestrangeofgl

2、obalbenchmarkproductsacrossallmajorassetclasses,includingfuturesandoptionsbasedoninterestrates,equityindexes,foreignexchange,energy,agriculturalcommodities,metals,weatherandrealestate.CMEGroupbringsbuyersandsellerstogetherthroughitsCMEGlobexelectronictradingplatformandi

3、tstradingfacilitiesinNewYorkandChicago.CMEClearing,anindustry-leadingcentralcounterpartyclearingprovider,offersclearingandsettlementservicesforexchange-tradedandover-the-counterderivatives.2TableofContents4Introduction5TheSignificanceofPhysicalDelivery6TheInstrumentsUnd

4、erlyingU.S.TreasuryFuturesContracts7TheRoleoftheClearingFirm8TheCMEClearingGuarantee»LimitsUpontheGuarantee9TheTimetableforDelivery»DeclarationofLongPositions»DeclarationofIntentiontoDeliver,andDeliveryon,ShortPositions»TheTreasuryFuturesDeliveryTimetable»IntentionDay»N

5、oticeDay»DeliveryDay»SimilaritiesandDifferencesamongContractCriticalDates»Example16MatchingLongstoTakeDeliveryfromShorts»Overview»Step1:DeterminationoftheEligibleLongPositionPool»Step2:RandomMatchingofLongswithShorts»WhenandHowPositionVintageDatesMatter»WhatHappenstothe

6、LongPositionStack?»HowtheClearingFirmFinishestheJob23InvoicingforU.S.TreasuryFuturesDeliveries»ConvertedFuturesPrice»AccruedInterest»Example27Appendix—U.S.TreasuryFuturesContractSpecifications3TheU.S.TreasuryFuturesDeliveryProcessIntroductionU.S.Treasuryfuturesarecontra

7、ctstosellandtobuyU.S.TreasuryThisbookletdescribestheproceduresthatgoverntheTreasurybondsornotes.AnyoneholdingapositioninanexpiringTreasuryfuturesdeliveryprocess.Itisintendedasanintroductionforthosefuturescontractduringitsdeliverymonthmustbepreparedtowishingtounderstandt

8、hedeliverymechanismandhowitaffectsfulfillthecontractualobligationtodeliver,ortotakedeliveryof,contractpricing.