Features of T-bond Futures and T-note Futures
Treasury bond futures and Treasury note futures traded on the CBOT have the following standard features:
T-bonds deliverable grade
- US Treasury bonds with maturity (or call date) atleast 15 years from delivery date, with an 8% coupon
- Other T-bonds delivered are converted to the equivalent of the above
T-notes deliverable grade
US Treasury notes with a maturity of between 6-1/2 to 10 years from delivery date, with an 8% coupon.
Again, an equivalent amount of other T-notes may be delivered.
Other contract specifications which are the same for T-bond and T-note futures are:
Size: Size is $100,000 face value.
Price quotation: In points ($1,000) and thirty seconds of a point; for example, 92-16 equals 92-16/32.
Minimum price fluctuation: One thirty second of a point, or $31.25 (one tick) per contract.
Daily trading limits: Three points ($3,000) per contract above or below the previous day’s settlement price.
Months traded: March, June, September, and December
Last trading day: Seven business days prior to the last business day of the month.
Last delivery day: Last business day of the month.
Delivery method: Federal Reserve book entry wire transfer system.
Margin requirements: Initial margin $1,500 a contract; maintenance margin $1,000 a contract.