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Treasury Futures Price Rounding Conventions
Treasury Futures Price Rounding Conventions

Treasury futures and options routinely trade at price levels that, in theory, would lead to variation margin amounts involving fractions of cents. As a practical matter, these must be rounded to the nearest penny. Precisely how and when this rounding is supposed to occur, however, is not always obvious or well understood. Those familiar with futures trade processing and accounting will be keenly aware that confusion on this point can result in errors that, from time to time, run into hefty sums.

The following document describes the conventions by which CME Clearing and its clearing member firms round fractional tails when computing variation margin amounts on Treasury contract positions.

Questions? Please contact the Interest Rate Products Team at 866-501-3646.

Treasury Futures Price Rounding