Conversion factor bond futures eurex

Government bonds; Financing of Futures CTDs; Futures on interest rate swaps. Euro-Swap Futures; Money market derivatives. SARON® Futures; SARON® derivatives; EONIA derivatives; EURIBOR derivatives; Packs & Bundles; EUR Secured Funding Derivatives; Inter-Product Spreads; Corporate Bond Index Futures. Bond index futures; Fixed Income Market

Eurex Fixed Income Futures – Overview 22 Futures Spread Margin and Additional Margin 23 Variation Margin 24 The Futures Price – Fair Value 26 Cost of Carry and Basis 27 Conversion Factor (Price Factor) and Cheapest-to-Deliver (CTD) Bond 29 Identifying the CTD Bond Contents EU-784 Fixed Income.Hand.Strat_E 31.08.2007 14:48 Uhr Seite 2 Conversion factor tables for U.S. Treasury Bond and Note futures have been updated to include conversion factors for the following securities: 1-1/2s of Sep 2022 (a new 3-year note) 1-5/8s of Aug 2029 (a reopened 10-year note) 2-1/4s of Aug 2049 (a reopened 30-year bond) The Conversion Factor is that factor used to equalize for the difference in issue terms between the notional bond underlying a bond futures contract and the real bonds eligible for delivery. 2. In the book, author said 'when bond yields are in excess of 6%, the conversion factor system tends to favor the delivery of low-coupon, long-maturity bonds.' I think, this means that under that circumstance, conversion factor increases as coupon rate decreases and maturity increases. However, I can't show that mathematically. Government bonds; Financing of Futures CTDs; Futures on interest rate swaps. Euro-Swap Futures; Money market derivatives. SARON® Futures; SARON® derivatives; EONIA derivatives; EURIBOR derivatives; Packs & Bundles; EUR Secured Funding Derivatives; Inter-Product Spreads; Corporate Bond Index Futures. Bond index futures; Fixed Income Market

Government bonds Our Euro-Schatz, Euro-Bobl, Euro-Bund, Euro-Buxl ® , Euro-BTP, Euro-OAT, Euro-BONO as well as CONF-Futures contracts cover the mid- and long-term area of the euro yield curve. Discover all our interest rate products here: Eurex Exchange - the home of the euro yield curve.

Bond index derivatives: Introduction of futures on the EURO STOXX 50® Equity index derivatives: Introduction of futures on iSTOXX® Europe Factor Indexes Extension of the Term of Swiss Stock Options / Conversion of Expiration Cycle  Use conversion factors to normalize the price of a factors for Euro-Bund futures on Eurex are  In the case of callable bonds issued by the Swiss Confederation, the first and the last call dates must be between eight and 13 years. Debt securities must have a  Interest Rate Derivatives eurex. Fixed Income Trading Strategies. EU-784 tially, the conversion factor generates a price at which a bond would trade if its yield.

Use conversion factors to normalize the price of a particular bond for delivery in a futures contract. When using conversion factors, the assumption is that a bond for delivery has a 6% coupon. Use convfactor to calculate conversion factors for all bond futures from the U.S., Germany, Japan, and U.K.

generate an arbitrage profit by buying bonds and selling futures; by definition, because on the last day For instance, the Bund contract on Eurex. 39 following the price factor conversion the equivalent bond price would be below the market  1 Apr 2015 million futures and options contracts changed hands on the Eurex exchange1. This is the bond that, given its conversion factor and accrued. 14 Apr 2014 basket of bonds deliverable into the futures contract, from the Eurex cash bonds and the futures price (corrected by the conversion factor). We. 25 Jul 2014 Daily Return Ratio of the Value of the Euro Bond Futures Contracts: On each Eurex exchange business day (other than during the roll period as  Variance Futures conversion parameters; Total Return Futures conversion parameters; Product and Price Report; Monthly statistics; Best Execution Reports; Clearing data. Prices Rolling Spot Future; Notified Bonds | Deliverable Bonds and Conversion Factors; Risk parameters and initial margins. Securities margin groups and classes; Haircut and

In the case of callable bonds issued by the Swiss Confederation, the first and the last call dates must be between eight and 13 years. Debt securities must have a 

But market participants are slowly seeing a certain probability of a different development in Spanish and Italian government bond yields. Euro-BONO Futures are  Government bonds. Our Euro-Schatz, Euro-Bobl, Euro-Bund, Euro-Buxl®, Euro- BTP, Euro-OAT, Euro-BONO as well as CONF-Futures contracts cover the mid-  Bond index derivatives: Introduction of futures on the EURO STOXX 50® Equity index derivatives: Introduction of futures on iSTOXX® Europe Factor Indexes Extension of the Term of Swiss Stock Options / Conversion of Expiration Cycle  Use conversion factors to normalize the price of a factors for Euro-Bund futures on Eurex are  In the case of callable bonds issued by the Swiss Confederation, the first and the last call dates must be between eight and 13 years. Debt securities must have a  Interest Rate Derivatives eurex. Fixed Income Trading Strategies. EU-784 tially, the conversion factor generates a price at which a bond would trade if its yield.

19 Jul 2016 For Eurex bond futures (which are quoted in decimals and quoted with price of the deliverable bond is calculated using a Conversion Factor.

Use conversion factors to normalize the price of a particular bond for delivery in a futures contract. When using conversion factors, the assumption is that a bond for delivery has a 6% coupon. Use convfactor to calculate conversion factors for all bond futures from the U.S., Germany, Japan, and U.K. For example, conversion factors for Euro-Bund futures on Eurex are listed at www.eurexchange.com. The delivery date for Euro-Bund futures is the 10th day of the month, as opposed to bond futures in the U.S., where the short position has the option of choosing when to deliver the bond. Eurex: Trading hours: 8.00h - 19.00h CET ( - 12.30h on the last trading day) Contrat value: 100 000 EUR: Minimum price change (tick) 0.01: Tick value: 10 EUR: Coupon: 6.000%: Contract months: The three closest months of the March, June, September and December cycle: Delivery date Two exchange days prior to the Delivery Day of the relevant maturity month. Close of trading in the maturing futures on the Last Trading Day is at 12:30 CET. Physical delivery: Bonds issued by the German government with a remaining term between 24 and 35 years at delivery date and a minimum outstanding volume of 10 billion euros. Eurex Fixed Income Futures – Overview 22 Futures Spread Margin and Additional Margin 23 Variation Margin 24 The Futures Price – Fair Value 26 Cost of Carry and Basis 27 Conversion Factor (Price Factor) and Cheapest-to-Deliver (CTD) Bond 29 Identifying the CTD Bond Contents EU-784 Fixed Income.Hand.Strat_E 31.08.2007 14:48 Uhr Seite 2

Clearing members with open short positions must notify Eurex on the last trading day of the maturing futures which debt instrument they will deliver. Such notification must be given by the end of the Post-Trading Full Period. Last trading day. Two exchange days prior to the delivery day of the relevant maturity month.