A wide Treasury calendar and the 2015 delivery gap

The March and June 2015 calendar

In February 2015 the March and June 2015 30-year Treasury bond futures stood near 149 and 167. That was an approximate 18-handle calendar-spread.

An 18-handle 30-year bond-futures calendar equaled about $18,000 per contract, versus a more typical one-to-three-handle difference between nearby expirations.

The wide March and June 2015 gap was attributed to different deliverable-baskets, not to a change in yield or in yield expectations between those expirations. Implied yields were described as nearly the same.

A basket, not a single bond

30-year Treasury futures price a basket of eligible bonds rather than a single cash issue. The cheapest-to-deliver securities typically set that deliverable-basket.

Exchange delivery rules required remaining maturity of at least 15 years and less than 25 years, a 10-year eligibility window in each bond's life.

When issuance leaves a hole

A halt in 30-year Treasury issuance from 2001 through early 2006 left a five-year hole in deliverable supply, with no available bonds maturing between February 2031 and 2036.

Bonds deliverable into the June 2015 contract matured from 2030 through 2040. The missing intermediate issues forced delivery of longer-duration bonds than the usual shortest-maturity cheapest-to-deliver choice. That issuance-gap is what sat inside the calendar.

Carry language after the identity check

In physical markets, later expirations usually differ from the front month because carry costs are priced into deferred contracts, a pattern often labelled contango or backwardation. Financial-futures months also rarely trade at the same price, even though those term-structure labels are used less often there.

Editorial note: once the two expirations are shown to share a comparable cheapest-to-deliver neighborhood, the residual calendar difference is what can be discussed as implied-carry. Until that check is done, the gap is still a contract-identity fact.