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Futures Measures

Bond Pricing: What is Cost of Carry?

Futures Measures

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In today’s episode, our very own Tom Preston (TP) joins Pete to discuss bond pricing, and the cost of carry.

They start off explaining the traditional 30-year bond futures, and what actually constitutes the deliverable underlying bonds. They explain that technically this contract represents a basket of futures that can mature 5 to 25 years from the delivery date.

The guys go on to look at 2 year U.S. Treasury note futures and what constitutes a possible delivery basket for those futures. Lastly they take a look at the current roll from March to June and what the current spread is doing.

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