Effective July 13, 2020
- Reduced tick size: 1/8 of 1/32 for outrights and spreads
- New matching algorithm: 100% FIFO for outrights; 20% FIFO/80% pro-rata for calendar spreads
- Aging 7-year notes added: with 2-years, 9 months–3 years remaining term-to-maturity
2-Year T-Note Futures Contract Specs
| Contract Unit | Face value at maturity of $200,000 | ||||
| Price Quotation | Points and fractions of points with par on the basis of 100 points | ||||
| Trading Hours | SUN - FRI: 5:00 p.m. - 4:00 p.m. | ||||
| Minimum Price Fluctuation | One-eighth of one thirty-second (1/32) of one point ($7.8125, rounded to the nearest cent per contract), including intermonth spreads. | ||||
| Product Code | CME Globex: ZTCME ClearPort: 26Clearing: 26 | ||||
| Listed Contracts | The first three consecutive contracts in the March, June, September, and December quarterly cycle. | ||||
| Settlement Method | Deliverable | ||||
| Termination Of Trading | Last business day of the calendar month. Trading in expiring contracts closes at 12:01 p.m. on the last trading day. | ||||
| Settlement Procedures | Treasury Settlement Procedures | ||||
| Position Limits | CBOT Position Limits | ||||
| Exchange Rulebook | CBOT 21 | ||||
| Block Minimum | Block Minimum Thresholds | ||||
| Price Limit Or Circuit | Price Limits | ||||
| All Or None Minimum | All or None Minimums | ||||
| Vendor Codes | Quote Vendor Symbols Listing | ||||
| Delivery Procedure | Federal Reserve book-entry wire-transfer system. | ||||
| Last Delivery Date | Third business day following the last trading day. | ||||
| Grade And Quality | 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 one year and nine months from the first day of the delivery month and a remaining term to maturity of not more than two years from the last 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. | ||||
2-Year Note Yield Curve Analytics
Welcome to U.S. Treasury Futures
Whether you are a new trader looking to get started in futures, or an experienced trader looking for a more efficient way to trade the U.S. government bond market, look no further than U.S. Treasury futures.
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