Comparison between bond market futures

Description Euro-Bund 10 year Gilts Futures JGB 10 year futures Commonwealth Govt US 10 year Treasury bond
futures Treasury 10 year futures
Bond futures
Code RX G JB XM TY
Contract Unit Long-term notional Gilt issues having Interest-bearing 10- Commonwealth US Treasury notes maturing
(Bloomberg) debt securities issued maturity of 8 3/4 to year JGBs with 7 Government at least 6.5 years, but not
by the German 13 years from the years or more but Treasury Bonds with more than 10 years, from the
Federal Govt with a 1st calendar day of less than 11 years. a face value of first day of the delivery
term of 8.5-10.5 yrs. the delivery month. Coupon of the A$100,000, a coupon month. The invoice price
Coupon of the Starting with the Notional Contract is rate of 6% per annum equals the futures settlement
Notional Contract is March 2004 6%. in multiples of 0.005 price times a conversion
6%. contract, the per cent. factor plus accrued interest.
underlying notional The conversion factor is the
coupon was price of the delivered note
changed from 7% ($1 par value) to yield 6
to 6%. percent, paid annually.

Contract Size 100,000 EUR 100,000 GBP 100 million JPY 100,000 AUD 100,000 USD
What the The price is the The price is the The invoice price is Notional prices are The invoice price is the
quote on future settlement futures settlement the futures settlement quoted in notional futures settlement price of
screen price of the price of the CTD price of the CTD yield per cent per the CTD bond times a
represents Cheapest-to-Deliver bond times a bond times a annum in multiples of conversion factor and
bond times a conversion factor conversion factor and 0.005%.For quotation accrued interest. The
conversion factor and and accrued accrued interest. The purposes the quote conversion factor is the price
accrued interest. The interest. The conversion factor is on screen is the of the delivered note ($1 par
conversion factor is conversion factor is the price of the notional yield value) to yield 6 percent p.a.
the price of the the price of the delivered to yield 6 deducted from an paid semiannually.
delivered to yield 6 delivered to yield 6 percent p.a. paid index of 100.
percent p.a. paid p.a. percent paid semiannually.
semiannually. semiannually.
Trading hrs 1400 – 0400 hrs 1500 – 0100 hrs 0800 – 1700 hrs 0630 – 0500 hrs 0630 – 0500 hrs
Exchange EUX-EUREX LIF-NYSE Ldn TSE SFE (Sydney) CBT
Tick Value 10 EUR 10 GBP 10,000 JPY Approximately 38 $31.25 USD
AUD per contract
depending on level of
interest rate
Most Liquid March (H), June (M), March (H), June March (H), June (M), March (H), June (M), March (H), June (M),
Contract September (U), (M), September September (U),September (U), September (U), December
Months December (Z) (U), December (Z) December (Z) December (Z) (Z)
Last Trading 2 days prior to the 2 days prior to the 7 working days prior 12pm on the 15th day 7 working days prior to the
Day delivery day, which is delivery day, which to the last business of the expiry month last business day in expiry
the 10th calendar day is any business day day in expiry month or next succeeding month
of the delivery month in the delivery business day
or the next following month decided by
business day seller
For the Assume the synthetic Assume the Assume the synthetic As prices are quoted Assume the synthetic bond
Model to bond future price synthetic bond bond future price as 100 – notional future price represents a
determine represents a nominal future price represents a nominal yield (in %), and the nominal 10 year bond that
interest rate 10 year bond that represents a 10 year bond that pricing formula is pays 3% coupon
levels: pays 3% coupon nominal 10 year pays 3% coupon calculated from semiannually. The yield
Notional semiannually. The bond that pays 3% semiannually. The notional yield (i.e. 3% derived is the notional
Yield yield derived is the coupon yield derived is the coupon paid interest rate.
Calculation notional interest rate. semiannually. The notional interest rate. semiannually), the
Method yield derived is the model uses the 100 –
notional interest bond yield formula to
rate. find notional yield
Consideratio For high frequency trading purposes it is reasonable to use generic bond futures prices. However, the generic future is
ns susceptible to squeezes when the Cheapest-to-Deliver Bond changes, especially when there is an attempt to squeeze
prices due to limited supply of the CTD bond. Bond futures markets have to be monitored carefully especially around the
last trading day to ensure fewer spurious signals.