2-Year T-Note
Futures and Options
2-Year T-Note Futures - Contract Specs
| Contract Unit | Face value at maturity of $200,000 |
|---|---|
| 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. TAS: Sunday - Friday 6:00 p.m. - 3:00 p.m. ET (5:00 p.m. - 2:00 p.m. CT) CME ClearPort: Sunday 5:00 p.m. - Friday 5:45 p.m. CT with no reporting Monday - Thursday from 5:45 p.m. - 6:00 p.m. CT TAS: Sunday 5:00 p.m. (6:00 p.m. ET) - Friday 2:00 p.m. - (3:00 p.m. ET) with a pause from 2:00 p.m. - 6:00 p.m. CT (3:00 p.m. - 7:00 p.m. ET), Monday - Thursday |
| Minimum Price Fluctuation | 1/8 of 1/32 of one point (0.00390625) = $7.8125 TAS: Zero or +/- 4 ticks in the minimum tick increment of the outright |
| Product Code | CME Globex: ZT CME ClearPort: 26 Clearing: 26 TAS: ZTT |
| Listed Contracts | Quarterly contracts (Mar, Jun, Sep, Dec) listed for 3 consecutive quarters TAS: A new TAS month will be listed on the 15th calendar day 3 months prior to the first day of the delivery month. Two TAS months (and corresponding calendar spread) will be supported for the two weeks prior to the nearer month's expiration. |
| Settlement Method | Deliverable |
| Termination of Trading | Trading terminates at 12:01 p.m.CT on the last business day of the contract month TAS:Trading terminates at 2:00 p.m.CT on the last business day of the calendar month preceding the contract month |
| TAM or TAS Rules | Trading at Settlement (TAS) is subject to the requirements of Rule 524.A. TAS trades off a "Base Price" of zero (equal to the daily settlement price) to create a differential versus the daily settlement price in the underlying futures contract month. The TAS clearing price equals the daily settlement price of the underlying futures contract month plus or minus the TAS transaction price. TAS Table |
| Settlement Procedures | |
| Position Limits | |
| Exchange Rulebook | |
| Block Minimum | |
| Price Limit or Circuit | |
| All or None Minimum | |
| Vendor Codes | |
| Delivery Procedure | Federal Reserve book-entry wire-transfer system. |
| Last Delivery Date | Third business day following the last trading day. |
| Grade and Quality | U.S. Treasury notes with an original term to maturity of not more than five years and three months and a remaining term to maturity of not less than one year and nine months from the first day of the delivery month and a remaining term to maturity of not more than two 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 note ($1 par value) to yield 6 percent. |
