U.S. TREASURY BOND FUTURES - CONTRACT SPECS
| Contract Unit | Face value at maturity of $100,000 | ||||
| Price Quotation | Points and fractions of points with par on the basis of 100 points | ||||
| Trading Hours | CME Globex: | SUN - FRI: 5:00 p.m. - 4:00 p.m. | CME ClearPort: | Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday 5:45 p.m. – 6:00 p.m. CT | |
| Minimum Price Fluctuation |
1/32 of one point (0.03125) = $31.25 Spreads: 1/4 of 1/32 of one point (0.0078125) = $7.8125 |
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| Product Code | CME Globex: ZBCME ClearPort: 17Clearing: 17 | ||||
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 3 quarters | ||||
| Settlement Method | Deliverable | ||||
| Termination Of Trading | Trading terminates at 12:01 p.m. CT on the 7th business day prior to the last business day of the contract month. | ||||
| Settlement Procedures | Treasury Settlement Procedures | ||||
| Position Limits | CBOT Position Limits | ||||
| Exchange Rulebook | CBOT 18 | ||||
| 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 | Last business day of the delivery month. | ||||
| Grade And Quality | U.S. Treasury bonds that have remaining term to maturity of at least 15 years and less than 25 years from the first day of the futures delivery month.* The delivery invoice amount equals the futures settlement price times a conversion factor, plus accrued interest. The conversion factor is the price of the delivered bond ($1 par value) to yield 6 percent. *For more information, please refer to T-Bond Basket Gap Decision. |
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