2.2.3. Interest Rate Futures: Long-Term
The long-term interest rate futures market lists futures contracts for 10-year, 5-year, and 2-year Treasury notes, and 30 years for Treasury bonds.
Treasury bonds, 10-year T-notes, and 5-year T-note futures contracts have a $100,000 face value. The 2-year Treasury note futures contract has a face value of $200,000. Treasury note and Treasury bond futures also are not cash settled. Like the old T-bills futures contract, they require delivery of the underlying instrument at settlement. Other contract specifications for the various contracts are listed on the table below.
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T-Note and T-Bond Futures Contract Specifications |
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Characteristics |
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Treasury Bond Futures |
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Contract size |
$100,000 |
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Deliverable grade |
T-bonds with remaining maturity between 15 and 25 years |
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Price quotation |
Bond points (each point = $1,000) split into units of 1/32 |
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Tick value |
1/32 of a point ($31.25 per contract) |
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Months traded |
March, June, September, December |
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10-Year Treasury Note Futures |
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|
Contract size |
$100,000 |
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Deliverable grade |
T-notes with remaining maturity between 6 1/2 and 10 years |
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Price quotation |
Points (each point = $1,000) and 32nds of a point |
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Tick value |
1/2 of 1/32 of a point ($15.625 per contract) |
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Months traded |
March, June, September, December |