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: Sunday - Friday 6:00 p.m. - 5:00 p.m.ET (5:00 p.m. - 4:00 p.m. CT).  Monday - Thursday 5:00 p.m. - 6:00 p.m. ET (4:00 p.m. - 5:00 p.m. CT) daily maintenance period.
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 Outright: 1/32 of one point (0.03125) = $31.25
CALENDAR SPREAD 1/4 of 1/32 of one point (0.0078125) = $7.8125
Product Code CME Globex: ZB
CME ClearPort: 17
Clearing: 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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