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Interest Rates Products
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5-Year U.S. Treasury Note Futures
| 5-Year U.S. Treasury Note Futures | |||||
|---|---|---|---|---|---|
| Underlying Unit | One U.S. Treasury note having a face value at maturity of $100,000. | ||||
| Deliverable Grades | U.S. Treasury notes with an original term to maturity of not more than five years and three months and a remaining term to maturity of not less than four years and two months as of the first day of the delivery month. The invoice price equals the futures settlement price times a conversion factor, plus accrued interest. The conversion factor is the price of the delivered note ($1 par value) to yield 6 percent. | ||||
| Price Quote | Points ($1,000) and quarters of 1/32 of a point. For example, 119-16 represents 119 16/32, 119-162 represents 119 16.25/32, 119-165 represents 119 16.5/32, and 119-167 represents 119 16.75/32. Par is on the basis of 100 points. | ||||
| Tick Size (minimum fluctuation) |
One-quarter of one thirty-second (1/32) of one point ($7.8125, rounded up to the nearest cent per contract), including intermonth spreads. | ||||
| Contract Months | The first five consecutive contracts in the March, June, September, and December quarterly cycle. | ||||
| Last Trading Day | Last business day of the calendar month. Trading in expiring contracts closes at 12:01 p.m. on the last trading day. | ||||
| Last Delivery Day | Third business day following the last trading day. | ||||
| Delivery Method | Federal Reserve book-entry wire-transfer system. | ||||
| Settlement | U.S. Treasury Futures Settlement Procedures | ||||
| Position Limits | Current Position Limits | ||||
| Block Minimum | Block Trade Minimums | ||||
| All or None Minimum | All or None Minimums | ||||
| Rulebook Chapter | CBOT Chapter 20 | ||||
| Trading Hours (All times listed are Central Time) |
OPEN OUTCRY | MON - FRI: 7:20 a.m. - 2:00 p.m. | |||
| CME GLOBEX | SUN - FRI: 5:00 p.m. - 4:00 p.m. | ||||
| Ticker Symbol | OPEN OUTCRY | FV | |||
| CME GLOBEX | ZF | ||||
| Exchange Rule | These contracts are listed with, and subject to, the rules and regulations of CBOT. | ||||
