Working Paper No. 57
By Francis Breedon
Bund futures are traded in both London (LIFFE) and Frankfurt (DTB) on open outcry and electronic trading platform respectively. One oddity in this market that has attracted much practitioner comment is that the LIFFE contract has traded slightly more expensively - about 1.5 basis points - than the DTB one despite an almost identical specification. This paper explores a number of possible explanations for this phenomenon but finds that none are important enough to explain the observed price difference.
Why do the LIFFE and DTB bund futures contracts trade at different prices?