MRCI & Interest Rate Quotes

Wednesday, 27 February 2013 13:10 Melissa Moore
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1. There is a difference between historical data for 5 yr treasuries FV on your website and what I find on other websites such as, cme.com barchart.com and Quandl.com. All other contracts match up exactly. Why are your prices quoted differently?


When the CBOT decreased the size of their minimum increments from 1/32 to 1/4 of 1/32, the exchange began showing a price series as, for example, 123~000, 123~002, 123~005, 123~007, 123~010 --- with 0~002 representing 1/4 of 0~01, 0~005 being 1/2 of 0~01, and 0~007 being 3/4 of 0~01.  That sort of ran parallel with their grain quotes of 1/4, 1/2, 3/4.

MRCI instead began quoting increments in terms of 1/128.  Thus, whereas a CME quote of 123~090 would mean 123-&-9/32,  MRCI's quote of 123~036 would mean 123-&-36/128.  The values are equivalent.


2. How does MRCI quote the Interest Rate spread 30 yr bonds/10 yr notes?


It is quoted in 1/32 (0~01) and in halves of 1/32 (0~005), but charts are plotted in decimals --- e.g., 16/32 is 0.50.






Last Updated on Wednesday, 23 October 2013 07:29