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  U.S. Treasury Bond Futures  
  Trading Hours | Margin Rates | Product Calendar | Overview


Contract Size
One U.S. Treasury bond having face value at maturity of $100,000
Deliverable Grades
December 2010 contract - U.S. Treasury bonds that, if callable, are not callable for at least 15 years from the first day of the delivery month or, if not callable, have a remaining term to maturity of at least 15 years from 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 bond ($1 par value) to yield 6 percent.

March 2011 and all subsequently listed contracts - U.S. Treasury bonds that, if callable, are not callable for at least 15 years from the first day of the delivery month and have maturities less than 25 years or, if not callable, have a remaining term to maturity of at least 15 years and less than 25 years from 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 bond ($1 par value) to yield 6 percent.
Tick Size
Outright:
The minimum price fluctuation shall be one half of one thirty-second (1/32) of one point ($15.625 rounded up to the nearest cent per contract) except for inter-month spreads, where the minimum price fluctuation shall be one quarter of one thirty-second of one point ($7.8125 per contract). Par shall be on the basis of 100 points.

Spreads:
Inter-month spreads: one-quarter of 1/32 of one point ($7.8125 per contract)
Price Quote
Points ($1,000) and halves of 1/32 of a point. For example, 105-16 represents 105 16/32, and 105-165 represents 105 16.5/32.
Contract Months
Mar, Jun, Sep, Dec
Last Trading Day
Seventh business day preceding the last business day of the delivery month.  Trading in expiring contracts closes at 1:01 p.m. ET on the last trading day.
Last Delivery Day
Last business day of the delivery month.
Delivery Method
Federal Reserve book-entry wire transfer system.
Spot Month Limit 25,000 (applicable to the last ten trading days of the expiring futures month)
Accountability Level 10,000
Reportable Level 1,500
Block Trade Minimum 300
Ticker Symbols
ZBe
No Bust Range 30/32nds