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Re: Bond futures question?
In Response To: Bond futures question? ()

I actually looked it up and a Reuters report came up. From Oct 22, 2014:

"On the Chicago Board of Trade, the price on the June 2015 30-year U.S. T-bond USM5 jumped more than 10 points to a contract high at 151-25/32.

Traders and analysts said the price move stemmed from a change in the mix of the cheapest U.S. government debt securities eligible for delivery against this T-bond contract, which had no open interest as of Tuesday.

The CME said in an earlier statement it will exclude a February 2031 Treasury bond issue from eligibility for delivery for the June 2015, September 2015 and December 2015 T-bond contracts only.

The CME made the change to address the five-year gap in the basket of U.S. Treasuries that could be delivered against these three T-bond contracts. The federal government stopped issuing 30-year bonds between early 2001 and early 2006 when it was running a budget surplus.

This change in the eligible cheapest-to-deliver Treasuries made the value of the June 2015 contracts higher than its December 2014 and March 2015 counterparts, analysts said."

Could be interesting