T-Bond Futures

Compared with treasury notes or treasury bonds, t-bonds take the longest time to mature. During the 20-30 years it takes for a t-bond to mature, t-bonds receive coupon payments every six months. The minimum denomination of a t-bond is $1,000 and they are typically sold through auction. The t-bond futures are usually used as risk management tools for investors who speculate on the futures direction of interest rates.

U.S. Treasury Bond Contract Specifications
Underlying Unit	One U.S. Treasury bond having a face value at maturity of $100,000.
Deliverable Grades	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. Note: Beginning with the March 2011 expiry, the deliverable grade for T-Bond futures will be bonds with remaining maturity of at least 15 years, but 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.
Price Quote	Points ($1,000) and 1/32 of a point. For example, 134-16 represents 134 16/32. Par is on the basis of 100 points.
Tick Size (minimum fluctuation)	One thirty-second (1/32) of one point ($31.25), except for intermonth spreads, where the minimum price fluctuation shall be one-quarter of one thirty-second of one point ($7.8125 per contract).
Contract Months	The first three consecutive contracts in the March, June, September, and December quarterly cycle.
Last Trading Day	Seventh business day preceding the last business day of the delivery month. Trading in expiring contracts closes at 12:01pm on the last trading day.
Last Delivery Day	Last business day of the delivery month.
Delivery Method	Federal Reserve book-entry wire-transfer system.
Settlement Procedure	Daily Treasury Settlement Procedures Final Treasury Settlement Procedures
Position Limits	Current Position Limits
Block Minimum	Block Trade Minimum
All or None Minimum	All or None Minimums
Trading Hours	Open Outcry: MON – FRI: 7:20am – 2:00pm CME Globex: SUN – FRI: 5:00pm – 4:00pm
Ticker Symbol	Open Outcry: US CME Globex: ZB
Exchange Rules	These contracts are listed with, and subject to, the rules and regulations of CBOT.
Source: CME

Ultra T-Bond Contract Specifications
Underlying Unit	One U.S. Treasury bond having a face value at maturity of $100,000.
Deliverable Grades	U.S. Treasury bonds with remaining term to maturity of not less than 25 years from the first day of the futures contract 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.
Price Quote	Points ($1,000 per contract) and 32nds of one point ($31.25 per contract). For example, 91-16 equals 91-16/32, 91-17 equals 91-17/32, and 91-18 equals 91-18/32.
Tick Size (minimum fluctuation)	One 32nd of one point ($31.25 per contract), except for intermonth spreads for which the minimum price increment is one quarter of one thirty-second of one point ($7.8125)
Contract Months	The first three consecutive contracts in the March, June, September, and December quarterly cycle.
Last Trading Day	Seventh business day preceding the last business day of the delivery month. Trading in expiring contracts closes at 12:01 p.m. on the last trading day.
Last Delivery Day	Last business day of the delivery month.
Settlement Procedure	Daily Treasury Settlement Procedures Final Treasury Settlement Procedures
Position Limits	Current Position Limits
Block Minimum	Block Trade Minimum
All or None Minimum	All or None Minimums
Trading Hours (All times listed are Central Time)	Open Outcry: SUN-FRI: 5:00pm – 4:00pm CME Globex: MON-FRI: 7:20am – 2:00pm
Ticker Symbol	Open Outcry: UB CME Globex: UL Clearing Code: UBE
Exchange Rules	These contracts are listed with, and subject to, the rules and regulations of CBOT.
Source: CME

T-Bond Facts

Treasury bond futures represent a liquid market and many participate in its trade including bankers, bond dealers, hedgers and other financial service professionals. Participating in Treasury bond futures can allow one to hedge long term risk, address yield curves, and use a variety of trading strategies like spread trading and trading against different Treasury futures.

Ultra T-Bonds were conceived in order to help those who participate in the U.S. Treasury bond market to enhance one’s portfolio and help to manage risk. The difference between these futures in contrast to other T-Bond futures is that Ultra T-Bonds have a limited range of deliverable securities. Ultra T-Bonds also offer a sense of flexibility for traders looking for off balance and far dated sheet exposure within the marketplace.

Source: CME

Last updated May 2013

Additional Info

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