U.S. T-Bond Futures Delivery Basket

Decision on T-Bond basket gap

Solution to Address Delivery Basket Gap in U.S. Treasury Bond Futures Announced

After an extensive market assessment, CME Group is ready to announce which approach will be taken to address a five-year term-to-maturity gap in the delivery basket of U.S. Treasury Bond futures. (The gap was a result of the U.S. Treasury's suspension of 30-year Treasury bond issuance between early 2001 - early 2006).

The decision is as follows:

CME Group will exclude the 5-3/8% February 2031 U.S. Treasury bond (cusip 912810FP8) from contract grade eligibility for the June 2015, September 2015, and December 2015 delivery months only.

These contracts are listed by and subject to the rules of CBOT. CBOT rule 18101.A authorizes the exchange to disallow any issue from the contract grade.


Excluding this specific bond from delivery eligibility in the three deferred delivery months will prevent a situation of having a single bond isolated as the five-year gap nears the front of the delivery basket.

At the same time, this will ensure that the changes have only a negligible impact on the overall size of the delivery basket.

This solution was reached after extensive consultation with Bond futures market participants.

Which contracts will be affected first?

The first delivery month affected – the June 2015 delivery month -- will be listed for trading on September 22, 2014, giving the marketplace ample time to make the necessary adjustments to trading systems.

The conversion factors published by the exchange have been revised to reflect this change.

View Conversion Factors

View Solution Overview

View Details in SER-7191


For product related questions contact:
Agha Mirza
Products & Services
+1 212 299 2833

Jonathan Kronstein
Research & Development
+1 312 930 3472

James Boudreault
Research & Development
+1 312 930 3247

Or provide feedback at

For media inquiries contact:
CME Group Corporate Communications

Futures & Options Trading

As the world's leading and most diverse derivatives marketplace, CME Group is where the world comes to manage risk. CME Group exchanges offer the widest range of global benchmark products across all major asset classes, including futures and options based on interest rates, equity indexes, foreign exchange, energy, agricultural commodities, metals, weather and real estate. CME Group brings buyers and sellers together through the CME Globex electronic trading platform and trading facilities in New York and Chicago. CME Group also operates CME Clearing, one of the largest central counterparty clearing services in the world, which provides clearing and settlement services for exchange-traded contracts, as well as for over-the-counter derivatives transactions through CME ClearPort.

Idea Exchange

Idea Exchange is your direct link to the product managers, marketers, and the development teams who create cmegroup.com and will allow you to review functionality, participate in focus and provide feedback on upcoming Web initiatives

Idea Exchange - Join Our User Focus Program

Contact Us

CME Group/Chicago HQ:
Local: +1 312 930 1000
Toll Free: +1 866 716 7274

Global Customer Contacts

More CME Group Direct Lines
Phone list by department

Global Partnerships


Global Offices Contact Information

Calgary Houston Chicago New York Washington São Paulo Belfast London Singapore Hong Kong Seoul Tokyo Beijing

© 2014 CME Group Inc. All rights reserved.

CME Group is the world's leading and most diverse derivatives marketplace. The company is comprised of four Designated Contract Markets (DCMs). Further information on each exchange's rules and product listings can be found by clicking on the links to CME, CBOT, NYMEX, and COMEX.