了解美国国债期货（Understanding US Treasury Futures）.pdfVIP

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了解美国国债期货（Understanding US Treasury Futures）.pdf

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了解美国国债期货（Understanding US Treasury Futures）

Understanding U.S. Treasury Futures John W. Labuszewski, Managing Director Research Product Development Tel: 312-446-2666, E-mail: jlab@ Frederick Sturm, Director Research Product Development Tel: 312-347-5235, E-mail: Frederick.Sturm@ This document is intended to provide an overview of the fundamentals of trading U.S. Treasury bond and note futures.1 We assume only a Treasury futures cursory knowledge of coupon-bearing Treasury securities, providing a represent a flagship grounding in cash Treasury markets; some detail regarding the features product group for the of the U.S. Treasury futures contracts; and, a discussion of risk CME Group. U.S. management applications with U.S. Treasury futures. Treasury futures were originally introduced on the Chicago Board of Coupon-Bearing Treasury Securities Trade (CBOT). CBOT was merged with Chicago U.S. Treasury bonds and notes represent a loan to the U.S. government. Mercantile Exchange in 2007 and is now operated Bondholders are creditors rather than equity- or shareholders. The U.S. as a unit of CME Group. government agrees to repay the face or principal or par amount of the security at maturity, plus coupon interest at semi-annual intervals.2 Treasury securities are often considered “risk