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https://www.cmegroup.com/trading/interest-rates/files/us-treasury-futures-delivery-process.pdf
Treasury futures contracts are contracts for future sale and purchase of US Treasury bonds or notes. Anyone holding a position in an expiring Treasury futures contract during its delivery month must be prepared to fulfill the contractual obligation either to deliver or to take delivery of contract grade Treasury securities.
https://www.cmegroup.com/trading/interest-rates/basics-of-us-treasury-futures.html
In practice, most participants trade U.S. Treasury futures contracts with the intent of either closing out the futures position or rolling them into longer expiry futures contracts. U.S. Treasury futures are listed on the March, June, September, and December quarterly cycles.
https://www.wallstreetmojo.com/bond-futures/
One of the most popular bond futures is treasury bond futures contracts traded by CME Group. In this, any government bond that has more than 15 years to maturity on the first day of the delivery month and is not callable within 15 years from that day can be delivered.
https://www.cmegroup.com/education/brochures-and-handbooks/about-us-treasury-futures-and-options.html
Treasury notes with original term to maturity of not more than 5 years 3 months from the first day of the delivery month, remaining term to maturity of at least 1 year 9 months from the first day of the delivery month, and remaining term to maturity of not more than 2 years from the last day of...
https://www.danielstrading.com/education/markets/interest-rates-financials/t-bond-futures
Note: Beginning with the March 2011 expiry, the deliverable grade for T-Bond futures will be bonds with remaining maturity of at least 15 years, but less than 25 years, from the first day of the delivery month. The invoice price equals the futures settlement price times a conversion factor, plus accrued interest.
https://www.cmegroup.com/education/files/treasury-futures-basis-spreads.pdf
As a Treasury futures contract nears expiration, the delivery invoice amounts implied by its price tend to converge toward cash market prices of the Treasury securities eligible for delivery in fulfillment of the contract. The path to convergence is revealed in the dynamics of the Treasury basis spread (or “basis”).
https://www.investopedia.com/terms/f/firstnoticeday.asp
Feb 07, 2020 · First Notice Day: A First Notice Day (FND) is the day after which an investor who has purchased a futures contract may be required to take physical delivery of …
http://people.stern.nyu.edu/jcarpen0/courses/b403333/23bondfutures.pdf
Treasury Bond Futures 2 Basic Futures Contract In a basic futures contract without delivery options, the buyer agrees to take delivery of an underlying asset from the seller at a specified expiration date T. Associated with the contract is the futures price, G(t), which varies in equilibrium with time and market conditions.
https://www.investopedia.com/terms/b/bondfutures.asp
Jan 17, 2020 · As mentioned earlier, the seller of the bond futures can choose which bond to deliver to the buyer counterparty. The bonds that are typically delivered are called the cheapest to deliver …
https://www.cmegroup.com/education/files/understanding-treasury-futures.pdf
That delivery window once reduced from 15 to 30 years and, thus, the characterization of the Treasury bond contract as a “30-year bond futures” was apt . Note that the Ultra T-bond futures contract calls for the delivery of any bond that does not mature for a period of at least 25 years from the date of delivery .
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