The following are examples of contract specifications for futures contracts traded as part of the CME Group network. These contracts are subject to change and it is wise to consult the exchange for the most up to date information.
30 year treasury bonds - have a contact size at maturity of $100,000
If bonds are to be called they aren't callable for at least 15 years. These bonds that are called are called from the first day of the month delivered. If not called the bonds have a maturity of at least 15 years from the first day of month delivered.
When figuring the price of bonds one has to do a small calculation when figuring out the invoice price. Invoice price x conversion factor + accrued interest.
The conversion factor is the price of the bond ( par value ) yield 6%
Price fluctuations when trading are a minimum of ($15.625) in intermonth trading a minimum of ($7.8125). Par value is 100 points. Contract months are traded in March, June, September, and December.
The last trading day is the seventh business day after the final business day of the delivery month. All contracts expire at 12 noon in Chicago's time, on that last trading day.
The ticker symbols are US for an open auction and ZB for electronic use.
10 year treasury notes - have a contact size at maturity of $100,000
U.S. Treasury notes mature no more than 10 years and at least 6 1/2 years from the the beginning of the first day of the delivery month. The conversion factor is the price of the bond ( par value ) yield 6%.
Price fluctuations when trading are a minimum of ($15.625) in intermonth trading a minimum of ($7.8125). Par value is 100 points. Contract months are traded in March, June, September, and December.
The last trading day is the seventh business day after the final business day of the delivery month. All contracts expire at 12 noon in Chicago's time, on that last trading day.
The ticker symbols for 10 yr notes are TY for the open auction and ZN for electronic purposes.
5 year treasury notes - have a contact size at maturity of $100,000
These notes have a maturity of 5 years and 3 months maximum maturity and maturity that can't fall under 4 years and 2 months to the first day of the actual delivery month. The conversion factor is the price of the bond ( par value ) yield 6%.
Price fluctuations when trading are a minimum of ($15.625) in intermonth trading a minimum of ($7.8125). Par value is 100 points. Contract months are traded in March, June, September, and December.
Ticker symbols for the 5yr note in the open auction is FV and for electronic means it is ZF.
The last trading day for the 5 yr note is the last day of the month of the contract that is expiring.
Delivery of contracts are the third day after the trading month.
2 year treasury notes - have a contact size at maturity of $200,000
2 year treasury notes have a maximum maturity of 5 years and 3 months and no less than 1 year and 9 months starting the original date of the delivery month however not exceed more than 2 years from the last day of the delivery month.
When figuring the price of bonds one has to do a small calculation when figuring out the invoice price. Invoice price x conversion factor + accrued interest.
The conversion factor is the price of the bond ( par value ) yield 6%
Ticker symbol for the 2 year treasury note is TU for the open auction and ZT on the electronic system.
Delivery of contracts are the third day after the trading month.
Calculating accrued interest for the most part is not necessary because many programs do the calculation for you. But it is very important for you to know and understand how bonds work to enhance your understanding of bond futures markets. Click here for more information on bonds from an insider’s perspective
