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New Whitepaper: Classic Bond Futures Soar the Gap

By CME Group


Our latest whitepaper analyzes the performance of Classic Bond futures during the first two-and-a-half-year period of its jump across the 5-year gap on the Treasury bond curve.

  • Since June 2015 (first delivery quarter on the other side of the gap) two nearby bonds have competed for CTD. The 5s of May 37 have been considered CTD 33% of the time, the 4-1/2s of Feb 36 the remainder.
  • With $691B in size, the Classic Bond has the third largest delivery basket of all U.S. Treasury futures.
  • Over the last 10 years, the average percentage of the deliverable basket taken to physical delivery is only 0.23%.
  • Since Q2 2015, ADV has increased 7% while average daily open interest has grown 44%.
  • The number of large open interest holders has risen 50% since March 2015.
  • Classic Bond futures continue to serve as the pricing benchmark for the 15-25 year portion of the curve

Click here to read the full whitepaper.