Why the ratio for 2/10 curve trade is 3:1 on the CME website rather than >4:1?

Discussion in 'Financial Futures' started by Cyrix, Feb 9, 2011.

  1. Here's the CBOT spreadsheet that gives you the conversion factors for every bond in the basket:
    http://www.cmegroup.com/trading/interest-rates/files/TCF021011.xls

    Once you have that and you know the bond prices, it's easy enough to figure out which one is the CTD. I don't think the exchange is likely to tell you what the current CTD is, 'cause they don't want to mislead people in case the mkt moves. BBG has live prices for treasuries, so they show you the basket and the CTD based on those prices.
     
    #11     Feb 11, 2011