US Treasury Bond Future [US, CBOT] - Financial definition
Financial acronyms
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Concise definition of the term US Treasury Bond Future [US, CBOT]
Interest rate futures contract on a notional long-term US Treasury bond (T-bond) with a remaining term comprised between 15 and 25 years and a nominal coupon of 6%. US T-bond futures are listed on the Chicago Board of Trade (CBOT).
Comprehensive definition of the term US Treasury Bond Future [US, CBOT]
Thanks to its listing on both CBOT's floor and the electronic CME Globex platform, this contract is, like the other US bond futures, tradable almost 24 hours a day.
Contract specifications
| Market code | Floor: US1 CME Globex: ZB1 |
| Currency | USD |
| Trading hours | Floor: Monday to Friday 7.20h - 14h CST CME Globex: Sunday to Friday 17h - 16h CST Note: Quoting ends at 12.01h on the contract's last trading day. |
| Contract value | 100 000 USD |
| Quoting method | Price in percentage of nominal |
| Minimum price change (tick) | 1/32nd of a percentage point, except for inter-month spreads, where the minimum price fluctuation shall be one-quarter of one thirty-second of one point ($7.8125 per contract). |
| Tick value | 31.25 USD |
| Nominal coupon rate | 6.000% |
| 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. |
| Physical delivery | All US T-bonds with a remaining term between 15 and 25 years on the 1st day of the contract month. |
1 These codes are completed with two characters representing the given contract's delivery month: a letter to designate the month (H = March, M = June, U = September, Z = December), and one digit to designate the year (for example 3 for 2013). The September 2013 US T-bond future contract would hence have the Reuters code USU3.